Discrete-time bond and option pricing for jump-diffusion processes

DOI10.1007/BF01531143zbMath1274.91479MaRDI QIDQ375257

Sanjiv Ranjan Das

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531143

zbMATH Keywords

options; jump-diffusions; bonds

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

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