PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS
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Publication:5427661
DOI10.1111/j.1467-9965.2007.00308.xzbMath1186.91213arXivmath/0509232MaRDI QIDQ5427661
Publication date: 21 November 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0509232
partial integro-differential equations; jump-diffusions; preservation of convexity; price comparisons
91G20: Derivative securities (option pricing, hedging, etc.)
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