Option pricing when asset returns jump interruptedly

DOI10.1002/asmb.1935MaRDI QIDQ6570855

Steve Hsin-Ting Yu, Daniel Wei-Chung Miao

Publication date: 10 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

analytical solutionoption pricingregime switchingheavy tailvolatility smilejump-diffusion modelinterrupted Poisson process

Mathematics Subject Classification ID

Statistics (62-XX)

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