A Jump-Diffusion Model for Option Pricing (Q136006)

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A Jump-Diffusion Model for Option Pricing
scientific article

    Statements

    volume
    48
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    issue
    8
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    page(s)
    1086-1101
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    publication date
    August 2002
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    14 July 2011
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    author
    S. G. Kou
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    S. G. Kou
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    title
    A Jump-Diffusion Model for Option Pricing (English)
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    zbMATH Keywords
    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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    Identifiers

    zbMATH DE Number
    5920530
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    OpenAlex ID
    W3122167020
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