A nonstandard treatment of options driven by poisson processes

DOI10.1080/17442509308833813zbMath0808.90018OpenAlexW1970594018MaRDI QIDQ4311557

Walter Willinger, P. Ekkehard Kopp, Nigel J. Cutland

Publication date: 22 November 1994

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509308833813

zbMATH Keywords

Brownian motiontrading strategyoption pricingnonstandard analysisdiscretization schemeCox-Ross jump process pricing modelPoisson jump price models

Mathematics Subject Classification ID

Decision theory (91B06) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Related Items (3)

First steps towards an equilibrium theory for Lévy financial markets ⋮ From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing ⋮ Elementary stochastic calculus for finance with infinitesimals

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