Quanto option pricing with a jump diffusion process

DOI10.1080/03610918.2019.1679378OpenAlexW2980515301WikidataQ127001618 ScholiaQ127001618MaRDI QIDQ5082959

Guiwen Lv, Wenhan Li, Cuixiang Li, Li-Xia Liu

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1679378

zbMATH Keywords

numerical analysisEsscher transformjump diffusion processquanto option pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
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