Numerical simulations for the pricing of options in jump diffusion markets (Q442180): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number: 6064562 / rank | |||
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model with jumps | |||
| Property / zbMATH Keywords: model with jumps / rank | |||
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incomplete markets | |||
| Property / zbMATH Keywords: incomplete markets / rank | |||
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European options | |||
| Property / zbMATH Keywords: European options / rank | |||
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Monte Carlo method | |||
| Property / zbMATH Keywords: Monte Carlo method / rank | |||
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Revision as of 02:19, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical simulations for the pricing of options in jump diffusion markets |
scientific article |
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Numerical simulations for the pricing of options in jump diffusion markets (English)
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10 August 2012
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model with jumps
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incomplete markets
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European options
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Monte Carlo method
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