Pricing an American binary option in a double exponential jump-diffusion model

MaRDI QIDQ3109471zbMATH OpenFDO

Authors Guohe Deng, Yan-Hua Huang

Publication date 27 January 2012

zbMATH Keywords

cash-or-nothing call option

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) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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• scientific article; zbMATH DE number 559089

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