Discrete-time bond and option pricing for jump-diffusion processes

DOI10.1007/BF01531143zbMath1274.91479OpenAlexW3126098922MaRDI QIDQ375257

Sanjiv Ranjan Das

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531143

zbMATH Keywords

optionsjump-diffusionsbonds

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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