Numerical simulations for the pricing of options in jump diffusion markets

DOI10.1016/J.AJMSC.2011.10.001zbMath1244.91101OpenAlexW1986123064MaRDI QIDQ442180

Qasem M. Al-Mdallal, Youssef El-Khatib

Publication date: 10 August 2012

Published in: Arab Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ajmsc.2011.10.001

zbMATH Keywords

Monte Carlo methodincomplete marketsEuropean optionsmodel with jumps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

New Simpson type integral inequalities for \(s\)-convex functions and their applications ⋮ On option pricing in illiquid markets with jumps

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Complete markets with discontinuous security price
• Incompleteness of markets driven by a mixed diffusion
• Hedging in complete markets driven by normal martingales
• Option pricing when underlying stock returns are discontinuous

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