Average options for jump diffusion models (Q3566764)
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scientific article; zbMATH DE number 5719295
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Average options for jump diffusion models |
scientific article; zbMATH DE number 5719295 |
Statements
AVERAGE OPTIONS FOR JUMP DIFFUSION MODELS (English)
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10 June 2010
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mathematical finance for jump diffusion process
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Itô's formula for jumps process
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Girsanov's theorem for jumps process
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option pricing for jump diffusion
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0.7989827990531921
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0.7984650731086731
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0.7969849109649658
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0.7932369709014893
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