Skip navigation
Skip navigation

A Multinomial Approximation for American Option Prices in Levy Process Models

Maller, Ross; Solomon, David H; Szimayer, Alexander


This paper gives a tree-based method for pricing American options in models where the stock price follows a general exponential Lévy process. A Multinomial model for approximating the stock price process, which can be viewed as generalizing the binomial

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
Source: Mathematical Finance
DOI: 10.1111/j.1467-9965.2006.00286.x


File Description SizeFormat Image
01_Maller_A_Multinomial_Approximation_2006.pdf287.71 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator