The Korn-Kreer-Lenssen Model As An Alternative For Option Pricing

X Chen illustrates how the Korn-Kreer-Lenssen model can be implemented in pricing European vanilla options, analyzes the accuracy of this model and derives two closed-form solutions for pricing American digital options in the Korn-Kreer-Lenssen’s framework, by using the birth-death process theory, as well as the probability distribution of the first passage time of the underlying stock process.

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