Pricing forward starting call option in a jump diffusion model

zbMATH Open1212.91111MaRDI QIDQ3051641FDOQ3051641

Authors: Wei Wang, Shuai Wang, Wensheng Wang 

Publication date: 5 November 2010

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zbMATH Keywords

change of measureGirsanov's theoremjump diffusion model

Mathematics Subject Classification ID

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

Cited In (5)

• Title not available (Why is that?)
• Pricing forward-starting options in double exponential jump-diffusion models
• Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
• The pricing of forward-start option based on NIG model
• Valuation of forward start options under affine jump-diffusion models

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