Contingent claims on foreign assets following jump-diffusion processes
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Publication:1418775
DOI10.1023/A:1022822004204zbMath1059.91053MaRDI QIDQ1418775
Publication date: 14 January 2004
Published in: Review of Derivatives Research (Search for Journal in Brave)
Related Items (3)
Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature ⋮ An analytic valuation method for multivariate contingent claims with regime-switching volatilities ⋮ Numerical solution of two asset jump diffusion models for option valuation
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