The range of American contingent claims prices in the jump-diffusion model

MaRDI QIDQ3545493zbMATH OpenFDO

Authors Jacek Wybraniec

Publication date 10 December 2008

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

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(5)

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• Computational Science – ICCS 2005
• On pricing contingent claims in a two interest rates jump-diffusion model via market completions

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