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Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/10/21
The pricing of exotic options in exponential L\'evy models amounts to the computation of expectations of functionals of the whole path of a L\'evy process. In many situations, Monte-Carlo methods are ...
On the Penalisation Error for American Options in a Jump Model
American Option Jump-Di usion Model Penalty Method
2010/10/21
We consider the pricing of American options in a model where the underlying asset is assumed to follow a jump diffusion process. The option value can be expressed as the solution to a variational ineq...