Publication: Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
Date
Date
Date
Citations
Leippold, M., & Vasiljevic, N. (2017). Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model. Journal of Banking and Finance, 77, 78–94. https://doi.org/10.1016/j.jbankfin.2017.01.014
Abstract
Abstract
Abstract
We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by following a maturity randomization approach, we solve the partial integro-differential equation and obtain a tight lower bound for the American option price. Secondly, our method allows us to disentangle the contributions of jump and diffusion for the American early exercise premium. Finally, using American-style options on S&P 100 index from 2007 until 2013, we estimate a range of hyper-exponential specifications a
Metrics
Views
Additional indexing
Creators (Authors)
- Vasiljevic, Nikola
Volume
Volume
Volume
Page range/Item number
Page range/Item number
Page range/Item number
Page end
Page end
Page end
Item Type
Item Type
Item Type
In collections
Scope
Scope
Scope
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
Related URLs
Related URLs
Related URLs
Metrics
Views
Citations
Leippold, M., & Vasiljevic, N. (2017). Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model. Journal of Banking and Finance, 77, 78–94. https://doi.org/10.1016/j.jbankfin.2017.01.014