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초록· 키워드
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We consider a geometric L\'{e}vy process for an underlying asset.
We prove first that the option price is the unique solution of
certain integro-differential equation without assuming
differentiability and boundedness of derivatives of the payoff
function. Second result is to provide convergence rate for option
prices when the small jumps are removed from the L\'{e}vy
process.
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참고문헌 (6)
참고문헌 신청
/ 1989 / \it Hedging of contingent claims under incomplete information} : 389 ~
/ 1992. / \it Green Functions for SecondOrder Parabolic Integro-differential Problems}
/ 1999 / it Pricing contingent claims on stocks driven by L : 504 ~
/ 2000 / it Martingales versus PDEs in finance: An equivalence result with examples : 947 ~
/ 2001 / it Approximations of small jumps of L\' e}vy processes with aview towards simulation : 482 ~
/ 1992. / \it Green Functions for SecondOrder Parabolic Integro-differential Problems}
/ 1999 / it Pricing contingent claims on stocks driven by L : 504 ~
/ 2000 / it Martingales versus PDEs in finance: An equivalence result with examples : 947 ~
/ 2001 / it Approximations of small jumps of L\' e}vy processes with aview towards simulation : 482 ~
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