Pricing of options based on a jump-diffusion stochastic process

MaRDI QIDQ3403763zbMATH OpenFDO

Authors Libing Zhang, Dehui Pan

Publication date 12 February 2010

zbMATH Keywords

Feynman-Kac formulajump-diffusion stochastic processoptionsrenewal process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Derivative securities (option pricing, hedging, etc.) (91G20)

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