Option pricing under a Markov-modulated Merton jump-diffusion dividend (Q6107581)
From MaRDI portal
scientific article; zbMATH DE number 7706291
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing under a Markov-modulated Merton jump-diffusion dividend |
scientific article; zbMATH DE number 7706291 |
Statements
Option pricing under a Markov-modulated Merton jump-diffusion dividend (English)
0 references
3 July 2023
0 references
option pricing
0 references
discrete dividend
0 references
Markov-modulated
0 references
esscher transform
0 references
risk-neutral measure
0 references
0 references
0 references
0 references
