Abstract
In this study, we use the McKean's integral equation to evaluate the American option price for the constant jump diffusion models. The early exercise boundary is approximated by a multipiece exponential function. Approximate closed-form solution of the no arbitrage American option prices are obtained . Simulation studies are performed to evaluate accuracy of the derived formula. The results show that the proposed method improves the pricing of American option for larger dividend rates. © 2011 IEEE.
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CITATION STYLE
Guo, M., Chang, Y. C., & Huang, S. F. (2011). Pricing American options in a jump diffusion model. In Proc. - 14th IEEE Int. Conf. on Computational Science and Engineering, CSE 2011 and 11th Int. Symp. on Pervasive Systems, Algorithms, and Networks, I-SPA 2011 and 10th IEEE Int. Conf. on IUCC 2011 (pp. 221–228). https://doi.org/10.1109/CSE.2011.48
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