Explicit Solution Processes for Nonlinear Jump-Diffusion Equations

DOI10.1142/S1402925110000908zbMath1215.60042MaRDI QIDQ3060130

Hasret Turkeri, Gazanfer Ünal, Chaudry Masood Khalique

Publication date: 1 December 2010

Published in: Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationcompound Poisson processstochastic integrating factorlinearization conditionsexplicit solution process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Cites Work

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• A Theory of the Term Structure of Interest Rates
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• Option pricing when underlying stock returns are discontinuous

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