Pricing of bi-direction European options on stocks driven by Poisson jump diffusion process

MaRDI QIDQ3501147zbMATH OpenFDO

Authors Xinping Liu, Lijuan Ning, Lina Zhang

Publication date 3 June 2008

zbMATH Keywords

stochastic differential equationEuropean bi-direction optioninsurance actuary pricingPoisson jump-diffusion process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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