Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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ERROR ESTIMATES FOR OPTION PRICES IN JUMP-DIFFUSION MODELS

  • Wee, In-Suk (Department of Mathematics, Korea University)
  • Published : 2002.11.01
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Abstract

We consider a jump-diffusion model generated by a Levy process for an asset price. We present an error estimate for the option prices between the jump-diffusion model and the Black-scholes model when the former converges weakly to the latter.

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References

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