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

MaRDI QIDQ3501602zbMATHFDO

Authors Mingxuan Shen, Xueqiao du

Publication date 3 June 2008

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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(4)

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• Reload option pricing under sub-fractional jump-diffusion process

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