Analytical Valuation of American Options on Jump‐Diffusion Processes

By Chandrasekhar Reddy Gukhal. 2001

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Subfields: Finance

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Pricing American options under variance gamma (2003, background): “For a jump process like the variance gamma this amount is further reduced by the expected shortfall the stop loss start gain strategy may experience on account of jumping back into the continuation region as explained further in Gukhal [9].”
Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations (2006, background): “It is particularly important in applications to modeling security prices or option prices in financial market, see Aase and Guttorp [1], Mulinacci [21], Scott [25], Gukhal [ 11 ], and so on. There are other applications to soil moisture model (Mtundu and Koch [22]), to hydorology (Bodo and Thomoson ”
An exact and explicit solution for the valuation of American put options (2006, methodology): “The solution is exact and in a closed form according to the definition given by Gukhal (2001).”
Option Pricing: Valuation Models and Applications (2004, unknown): “A nonrecombining lattice algorithm for the pricing of interest-rate derivatives in the general Heath-Jarrow-Morton (HJM) framework is proposed in Heath et al. (1990). A nonrecombining lattice with branches determined through Monte Carlo sampling, i.”