A Jump-Diffusion Model for Option Pricing (Q136006): Difference between revisions
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| Property / DOI: 10.1287/mnsc.48.8.1086.166 / rank | |||
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Latest revision as of 11:37, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Jump-Diffusion Model for Option Pricing |
scientific article |
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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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