scientific article

zbMath1216.91037MaRDI QIDQ3007889

Yacin Jerbi

Publication date: 17 June 2011

Full work available at URL: http://pphmj.com/abstract/5578.htm

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

trinomial model\(J\)-law\(J\)-processpricing option model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting

Uses Software

• sn

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