Simulation of jump diffusions and the pricing of options

DOI10.1016/j.insmatheco.2008.06.001zbMath1152.91503OpenAlexW1966980097MaRDI QIDQ2518535

Joe DiCesare, Donald L. McLeish

Publication date: 16 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.06.001

Mathematics Subject Classification ID

Related Items (4)

American-style options in jump-diffusion models: estimation and evaluation ⋮ Lookback option pricing for regime-switching jump diffusion models ⋮ A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion

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