Approximations of option prices for a jump-diffusion model

In Suk Wee

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)383-398
Number of pages16
JournalJournal of the Korean Mathematical Society
Issue number2
Publication statusPublished - 2006 Mar


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

ASJC Scopus subject areas

  • Mathematics(all)


Dive into the research topics of 'Approximations of option prices for a jump-diffusion model'. Together they form a unique fingerprint.

Cite this