Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model

MaRDI QIDQ2824453zbMATH OpenFDO

Authors Kongjie Liu, Yinghui Dong, Haifei Zhu

Publication date 6 October 2016

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

zbMATH Keywords

dynamic guaranteed fundshyper-exponential jump-diffusion modelLaplace transform

Mathematics Subject Classification ID

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

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(3)

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