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

count processjump-diffusion processmartingale methodoption pricing

Mathematics Subject Classification ID

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

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