Pricing power options with a generalized jump diffusion (Q4595886)
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scientific article; zbMATH DE number 6816105
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| English | Pricing power options with a generalized jump diffusion |
scientific article; zbMATH DE number 6816105 |
Statements
Pricing power options with a generalized jump diffusion (English)
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6 December 2017
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Esscher transform
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jump-diffusion
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Markov-modulated
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power options
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risk-neutral martingale measure
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0.8315289616584778
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0.8241587281227112
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0.8110446333885193
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0.8046168684959412
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0.796346127986908
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