Pricing of reload stock options with the stock price obeying the nonhomogeneous Poisson jump diffusion process

zbMATH Open1150.60427MaRDI QIDQ3501602FDOQ3501602

Authors: Mingxuan Shen, Xueqiao du 

Publication date: 3 June 2008

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zbMATH Keywords

jump-diffusion processnonhomogeneous Poisson processreload stock option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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