Option valuation for the double-factor-cross-feedback infinite activity jump-diffusion model

DOI10.13383/J.CNKI.JSE.2017.05.007MaRDI QIDQ3175669zbMATH OpenFDO

Authors Fumin Zhu, Zunxin Zheng, Hengyu Wu

Publication date 18 July 2018

Full work available at URL https://doi.org/10.13383/J.CNKI.JSE.2017.05.007

zbMATH Keywords

cross-feedbackinfinite-activity jumpsjump-diffusion modelsequential Bayesian learning

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

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