ERROR ESTIMATES FOR OPTION PRICES IN JUMP-DIFFUSION MODELS

DOI10.4134/BKMS.2002.39.4.705zbMath1011.60048MaRDI QIDQ4792616

In-Suk Wee

Publication date: 25 May 2003

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes modeloption pricejump-diffusion model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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