Andreasen & Grünewald (1996)

helloworld · June 4th, 2007, 4:06 pm

Does anyone know where I can find the reference "Andreasen, Jesper, and Grünewald, Barbara: American Option Pricing in the Jump-Diffusion Model, Working Paper (1996), Aarhus University and University of Mainz"?Thanks!

jfuqua · June 4th, 2007, 6:26 pm

Are you sure of your reference ? I have it as:Grunewald B., Siegfried Trautmann 'Option Hedging in the Presence of Jump Risk' 2/96

helloworld · June 5th, 2007, 6:18 am

Thanks for the alternative, I will look it up.I am sure about the reference, it is cited inLeif Andersen and Jesper Andreasen, "Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing" in Review of Derivatives Research, 4, 231 (2000).