Impulsive jump-diffusion models for pricing securities

MaRDI QIDQ3303743zbMATH OpenFDO

Authors Benjamin Oyediran Oyelami, Sheila A. Bishop

Publication date 4 August 2020

Full work available at URL http://ijmcs.future-in-tech.net/15.2/R-Bishop.pdf

zbMATH Keywords

diffusionimpulsivejumpLévy processmodeloptions pricing and Monte Carlo simulationstochastic

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on discrete state spaces (60J74) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(2)

• Analysis of incomplete stock market with jump-diffusion uncertainty
• scientific article; zbMATH DE number 5669952 (Why is no real title available?)

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