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Option pricing under jump diffusion model - MaRDI portal

Option pricing under jump diffusion model

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Publication:6580270

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DOI10.1016/j.spl.2024.110137MaRDI QIDQ6580270

Li Wang, Unnamed Author

Publication date: 29 July 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

option pricing Feynman-Kac theorem measure transformation Lévy jump

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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