Pricing forward starting call option in a jump diffusion model

MaRDI QIDQ3051641zbMATH OpenFDO

Authors Wei Wang, Shuai Wang, Wensheng Wang

Publication date 5 November 2010

zbMATH Keywords

change of measureGirsanov's theoremjump diffusion model

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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