Option pricing under a Markov-modulated Merton jump-diffusion dividend (Q6107581)
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scientific article; zbMATH DE number 7706291
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing under a Markov-modulated Merton jump-diffusion dividend |
scientific article; zbMATH DE number 7706291 |
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Option pricing under a Markov-modulated Merton jump-diffusion dividend (English)
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3 July 2023
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option pricing
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discrete dividend
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Markov-modulated
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esscher transform
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risk-neutral measure
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