Combinatorial identities derived from the Kou jump-diffusion model

MaRDI QIDQ350817zbMATH OpenFDO

Authors Winston Buckley

Publication date 3 July 2013

Published in Missouri Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.mjms/1369746396

zbMATH Keywords

combinatorial identitiesinstantaneous centralised momentsKou jump diffusionLévy measureseries summation

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

• A jump-diffusion model for option pricing
• Lévy Processes and Stochastic Calculus
• Some remarks on almost Kähler 4-manifolds of pointwise constant holomorphic sectional curvature

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