A Jump-Diffusion Model for Option Pricing

DOI10.1287/mnsc.48.8.1086.166zbMath1216.91039OpenAlexW3122167020MaRDI QIDQ136006

S. G. Kou, S. G. Kou

Publication date: August 2002

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.48.8.1086.166

zbMATH Keywords

rational expectationsheavy tailscontingent claimsinterest rate modelshigh peakoverreaction and underreaction

Mathematics Subject Classification ID

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