A Multinomial Approximation for American Option Prices in Levy Process Models

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

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A Multinomial Approximation for American Option Prices in Levy Process Models

Date

2006

Authors

Maller, Ross

Solomon, David H

Szimayer, Alexander

Publisher

Blackwell Publishing Ltd

Abstract

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