Numerical simulations for the pricing of options in jump diffusion markets
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Publication:442180
DOI10.1016/j.ajmsc.2011.10.001zbMath1244.91101MaRDI QIDQ442180
Qasem M. Al-Mdallal, Youssef El-Khatib
Publication date: 10 August 2012
Published in: Arab Journal of Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ajmsc.2011.10.001
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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New Simpson type integral inequalities for \(s\)-convex functions and their applications, On option pricing in illiquid markets with jumps
Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Complete markets with discontinuous security price
- Incompleteness of markets driven by a mixed diffusion
- Hedging in complete markets driven by normal martingales
- Option pricing when underlying stock returns are discontinuous
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