Pricing of options based on a jump-diffusion stochastic process
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Publication:3403763
zbMATH Open1199.91238MaRDI QIDQ3403763FDOQ3403763
Authors: Libing Zhang, Dehui Pan 
Publication date: 12 February 2010
Recommendations
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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- A direct solution method for pricing options involving the maximum process
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- Pricing options on securities with discontinuous returns
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- Simulation of jump diffusions and the pricing of options
- A class of option pricing models based on jump-diffusion processes
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