Jump Diffusion Option Valuation in Discrete Time
在离散时间下构建了一个简单的期权定价模型，将多元跳跃叠加到Cox-Ross-Rubinstein二项式模型上，得到极限为跳跃扩散过程的模型，支持美式期权提前行权和任意跳跃分布，并给出了高效计算方法。
ABSTRACT We develop a simple, discrete time model to value options when the underlying process follows a jump diffusion process. Multivariate jumps are superimposed on the binomial model of Cox, Ross, and Rubinstein (1979) to obtain a model with a limiting jump diffusion process. This model incorporates the early exercise feature of American options as well as arbitrary jump distributions. It yields an efficient computational procedure that can be implemented in practice. As an application of the model, we illustrate some characteristics of the early exercise boundary of American options with certain types of jump distributions.