The valuation of Russian options for double exponential jump diffusion processes (Q3566768)
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scientific article; zbMATH DE number 5719299
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The valuation of Russian options for double exponential jump diffusion processes |
scientific article; zbMATH DE number 5719299 |
Statements
THE VALUATION OF RUSSIAN OPTIONS FOR DOUBLE EXPONENTIAL JUMP DIFFUSION PROCESSES (English)
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10 June 2010
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Russian option
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jump diffusion process
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0.8163632750511169
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0.8078051805496216
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0.8066089153289795
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