Error analysis of asymptotic option prices in a jump-diffusion model
by Lamia Benothman; Faouzi Trabelsi
International Journal of Mathematical Modelling and Numerical Optimisation (IJMMNO), Vol. 5, No. 3, 2014

Abstract: This paper is concerned with an approximation of the jump-size distribution in a jump-diffusion model in the context of European and US option pricing in mathematical finance. With a binomial-like jump-size distribution with an arbitrarily chosen support, we show that the approximation error (relative to Gaussian jump-size distribution) tends to zero as the number of atoms increases.

Online publication date: Thu, 18-Sep-2014

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