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A Multinomial Approximation for American Option Prices in Levy Process Models

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

Description

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
URI: http://hdl.handle.net/1885/26497
Source: Mathematical Finance
DOI: 10.1111/j.1467-9965.2006.00286.x

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