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Cited by 320

The DOI matches its Crossref record; 14 of the 14 references it cites were found in a registry or an index.

Jump Diffusion Option Valuation in Discrete Time

AMIN, KAUSHIK I.·1993·The Journal of Finance
DOI 10.1111/j.1540-6261.1993.tb05130.x
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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.

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Crossref · 10.1111/j.1540-6261.1993.tb05130.x

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Metadata

Authors
AMIN, K. I.
Venue
The Journal of Finance
Publisher
Wiley
Published
1993-12
Volume
48
Issue
5
Pages
1833-1863
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1993.tb05130.x
OpenAlex
W2112889352
Cited by
320
References
14
FWCI
2.42
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Jump Diffusion Option Valuation in Discrete Time. https://app.cochat.ai/papers/10.1111/j.1540-6261.1993.tb05130.x
The paper
AMIN, K. I. (1993). Jump Diffusion Option Valuation in Discrete Time. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1993.tb05130.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.