Path-dependent option pricing under a two-sided jump-diffusion model

MaRDI QIDQ2887198zbMATH OpenFDO

Authors Yinghui Dong, Yinwei Chen

Publication date 1 June 2012

Published in Journal of Suzhou University of Science and Technology. Natural Science Edition (Search for Journal in Brave)

zbMATH Keywords

jump-diffusion processmixed double exponential distributionoption 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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(16)

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