AVERAGE OPTIONS FOR JUMP DIFFUSION MODELS

DOI10.1142/S0217595910002612zbMath1231.91439MaRDI QIDQ3566764

Hiroshi Kunita, Takuya Yamada

Publication date: 10 June 2010

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

Girsanov's theorem for jumps processItô's formula for jumps processmathematical finance for jump diffusion processoption pricing for jump diffusion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A Jump-Diffusion Model for Option Pricing
• ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
• Option pricing when underlying stock returns are discontinuous
• Unnamed Item

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