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

zbMATH Open1150.91414MaRDI QIDQ3501147FDOQ3501147

Authors: Xinping Liu, Lijuan Ning, Lina Zhang 

Publication date: 3 June 2008

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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)

Cited In (5)

• Pricing of exponential European option under jump-diffusion models
• A nonstandard treatment of options driven by poisson processes
• Pricing of reload stock options with the stock price obeying the nonhomogeneous Poisson jump diffusion process
• Title not available (Why is that?)
• Pricing of bi-direction European options with jump diffusion and stochastic interest rates

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