Bulletin of the
Korean Mathematical Society BKMS

ISSN(Print) 1015-8634 ISSN(Online) 2234-3016
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Bull. Korean Math. Soc. 2002; 39(4): 705-714

Printed December 1, 2002

Copyright © The Korean Mathematical Society.

Error estimates for option prices in jump-diffusion models

In-Suk Wee

Korea University

Abstract

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We consider a jump-diffusion model generated by a L\'{e}vy process for an asset price. We present an error estimate for the option prices between the jump-diffusion model and the Black-Scholes model when the former converges weakly to the latter.

Keywords: jump-diffusion model, Black-Scholes model, option price

MSC numbers: 60H30, 91B28, 91B70

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