Combinatorial identities derived from the Kou jump-diffusion model

zbMath1272.91128MaRDI QIDQ350817

Winston S. Buckley

Publication date: 3 July 2013

Published in: Missouri Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.mjms/1369746396

zbMATH Keywords

combinatorial identitiesLévy measureinstantaneous centralised momentsKou jump diffusionseries summation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Some remarks on almost Kähler 4-manifolds of pointwise constant holomorphic sectional curvature
• Lévy Processes and Stochastic Calculus

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