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

renewal processoptionsFeynman-Kac formulajump-diffusion stochastic process

Mathematics Subject Classification ID

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

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