Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes
基于 Hermite 多项式的一般跳跃扩散美式期权估值
We present a new approximation scheme for the price and exercise policy of American options. The scheme is based on Hermite polynomial expansions of the transition density of the underlying asset dynamics and the early exercise premium representation of the American option price. The advantages of the proposed approach are threefold. First, our approach does not require the transition density and characteristic functions of the underlying asset dynamics to be attainable in…