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IN A JUMP DIFFUSION MODEL (2006)

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by Erik Ekström , Erik Ekstr Öm
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BibTeX

@MISC{Ekström06ina,
    author = {Erik Ekström and Erik Ekstr Öm},
    title = {IN A JUMP DIFFUSION MODEL},
    year = {2006}
}

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Abstract

Abstract. We provide bounds for perpetual American option prices in a jump-diffusion model in terms of American option prices in the standard Black-Scholes model. We also investigate the dependence of the bounds on different parameters of the model. 1.

Keyphrases

jump diffusion model    standard black-scholes model    american option price    jump-diffusion model    different parameter    perpetual american option price   

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