PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS (Q5427661): Difference between revisions
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| Property / cites work: Incompleteness of markets driven by a mixed diffusion / rank | |||
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| Property / cites work: Financial Modelling with Jump Processes / rank | |||
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| Property / cites work: Robustness of the Black and Scholes Formula / rank | |||
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| Property / cites work: Volatility misspecification, option pricing and superreplication via coupling / rank | |||
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Latest revision as of 12:15, 27 June 2024
scientific article; zbMATH DE number 5213438
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS |
scientific article; zbMATH DE number 5213438 |
Statements
PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS (English)
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21 November 2007
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preservation of convexity
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partial integro-differential equations
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jump-diffusions
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price comparisons
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