PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS (Q5051185): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: A Delayed Black and Scholes Formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing under regime-switching jump-diffusion models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On pricing barrier options with regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: The pricing of options for securities markets with delayed response / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Jump-Diffusion Model for Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical probability. An introduction with applications to finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing currency option in a mixed fractional Brownian motion with jumps environment / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5454921 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of parameters in the fractional compound Poisson process / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new exact solution for pricing European options in a two-state regime-switching economy / rank
 
Normal rank

Latest revision as of 21:40, 30 July 2024

scientific article; zbMATH DE number 7621894
Language Label Description Also known as
English
PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS
scientific article; zbMATH DE number 7621894

    Statements

    PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS (English)
    0 references
    0 references
    0 references
    0 references
    22 November 2022
    0 references
    Black-Scholes model
    0 references
    delay differential equations with jumps
    0 references
    European call option
    0 references
    exchange option
    0 references
    pricing formula
    0 references

    Identifiers