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BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS - MaRDI portal

BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS (Q3168858)

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BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS
scientific article

    Statements

    title
    BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS (English)
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    author
    Jean-Christophe Breton
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    Nicolas Privault
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    publication date
    27 April 2011
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    zbMATH Keywords
    convex concentration
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    jump-diffusion processes
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    option prices
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    propagation of convexity property
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    Identifiers

    zbMATH DE Number
    5881464
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    OpenAlex ID
    W2142285888
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