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)

Cited In (4)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Reload option pricing under sub-fractional jump-diffusion process
• An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate

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