Convergence of Jump-Diffusion Modelsto the Black–Scholes Model

DOI10.1081/SAP-120017536zbMath1045.91020OpenAlexW2039528263MaRDI QIDQ4795544

In-Suk Wee, Dowon Hong

Publication date: 24 February 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120017536

zbMATH Keywords

Lévy processjump-diffusionminimal martingale measure and strategy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

The Bickel--Rosenblatt test for diffusion processes ⋮ Asymptotic option price with bounded expected loss

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