### Abstract

We consider a geometric Lévy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Lévy process.

Original language | English |
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Pages (from-to) | 383-398 |

Number of pages | 16 |

Journal | Journal of the Korean Mathematical Society |

Volume | 43 |

Issue number | 2 |

Publication status | Published - 2006 Mar 1 |

### Fingerprint

### Keywords

- Black-scholes model
- Jump-diffusion model
- Lévy process
- Option price

### ASJC Scopus subject areas

- Mathematics(all)

### Cite this

*Journal of the Korean Mathematical Society*,

*43*(2), 383-398.

**Approximations of option prices for a jump-diffusion model.** / Wee, In-Suk.

Research output: Contribution to journal › Article

*Journal of the Korean Mathematical Society*, vol. 43, no. 2, pp. 383-398.

}

TY - JOUR

T1 - Approximations of option prices for a jump-diffusion model

AU - Wee, In-Suk

PY - 2006/3/1

Y1 - 2006/3/1

N2 - We consider a geometric Lévy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Lévy process.

AB - We consider a geometric Lévy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Lévy process.

KW - Black-scholes model

KW - Jump-diffusion model

KW - Lévy process

KW - Option price

UR - http://www.scopus.com/inward/record.url?scp=33644806706&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=33644806706&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:33644806706

VL - 43

SP - 383

EP - 398

JO - Journal of the Korean Mathematical Society

JF - Journal of the Korean Mathematical Society

SN - 0304-9914

IS - 2

ER -