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A Solution to Kolmogorov-Feller Equation and Pricing of Options - MaRDI portal

A Solution to Kolmogorov-Feller Equation and Pricing of Options

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Publication:6240478

arXiv1303.4849MaRDI QIDQ6240478

J. G. Kim, Il-Su Choe

Publication date: 20 March 2013

Abstract: We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.












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