摘要翻译：
本文介绍了由L\'evy过程驱动的有限到期美式期权的定价算法。这个想法是调整卡尔的“加拿大化”方法，参见。Carr[9]（也见Bouchard et al[5]),这样调整的算法对于任何L\'evy过程是可行的，其在独立的指数分布时间上的定律由（可能是无限的）指数混合组成。这包括布朗运动加（超）指数跳跃，但也包括最近引入的所谓亚纯L\'evy过程的丰富类，CF。Kyprianou等[16]。这个类包含所有的L\'Evy过程，其L\'Evy测度是指数的无限混合，可以产生有限和无限的跳跃活动。数学金融学中众所周知的L\'Evy过程可以直接地作为亚纯L\'Evy过程的一个极限得到。针对典型的美式put算例，我们详细地推导了算法，并用数值说明了计算结果。
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英文标题：
《A variation of the Canadisation algorithm for the pricing of American
  options driven by L\'evy processes》
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作者：
Florian Kleinert and Kees van Schaik
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最新提交年份：
2013
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm is viable for any L\'evy process whose law at an independent, exponentially distributed time consists of a (possibly infinite) mixture of exponentials. This includes Brownian motion plus (hyper)exponential jumps, but also the recently introduced rich class of so-called meromorphic L\'evy processes, cf. Kyprianou et al [16]. This class contains all L\'evy processes whose L\'evy measure is an infinite mixture of exponentials which can generate both finite and infinite jump activity. L\'evy processes well known in mathematical finance can in a straightforward way be obtained as a limit of meromorphic L\'evy processes. We work out the algorithm in detail for the classic example of the American put, and we illustrate the results with some numerics.
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PDF链接：
https://arxiv.org/pdf/1304.4534