Option pricing of a dividends-payment model with a jump-diffusion

MaRDI QIDQ3517955zbMATH OpenFDO

Authors Ya-Qiang Yang, Xiaogang Xia, Yun-Feng Yang

Publication date 6 August 2008

zbMATH Keywords

option pricingjump-diffusion processmartingale methodcount process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• scientific article; zbMATH DE number 5308465
• Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics
• scientific article; zbMATH DE number 5026589
• Pricing of exponential European option under jump-diffusion models
• scientific article; zbMATH DE number 2219635

Cited in

(6)

• The pricing of power payoffs European options with continuous dividend
• Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics
• scientific article; zbMATH DE number 2219635 (Why is no real title available?)
• Equity with Markov-modulated dividends
• A novel model for pricing European option with discrete dividends
• scientific article; zbMATH DE number 5308465 (Why is no real title available?)

This page was built for publication: Option pricing of a dividends-payment model with a jump-diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3517955)