Error analysis of asymptotic option prices in a jump-diffusion model

摘要

This paper is concerned with an approximation of the jump-size distribution in a jump-diffusion model in the context of European and US option pricing in mathematical finance. With a binomial-like jump-size distribution with an arbitrarily chosen support, we show that the approximation error (relative to Gaussian jump-size distribution) tends to zero as the number of atoms increases.