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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"achean's equation."" "subject:"achaean's equation.""

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Pricing American options in the jump diffusion model

Chang, Yu-Chun 21 July 2005 (has links)
In this study, we use the McKean's integral equation to evaluate the American option price for constant jump di
early exercise boundary
McKean's equation.
jump diffusion model
American options
early exercise premium

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