A Jump-Diffusion Model for Option Pricing (Q136006): Difference between revisions
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14 July 2011
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| Property / author: S. G. Kou / rank | |||||||||||||||
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A Jump-Diffusion Model for Option Pricing (English) | |||||||||||||||
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| Property / zbMATH Open document ID: 1216.91039 / rank | |||||||||||||||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||||||||||||||
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| Property / Mathematics Subject Classification ID: 60J75 / rank | |||||||||||||||
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| Property / zbMATH DE Number: 5920530 / rank | |||||||||||||||
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overreaction and underreaction | |||||||||||||||
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Revision as of 19:20, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Jump-Diffusion Model for Option Pricing |
scientific article |
Statements
48
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8
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1086-1101
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August 2002
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14 July 2011
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A Jump-Diffusion Model for Option Pricing (English)
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contingent claims
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high peak
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heavy tails
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interest rate models
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rational expectations
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overreaction and underreaction
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