SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK

DOI10.1142/S0219024903001803zbMath1079.91032arXivcond-mat/0108137OpenAlexW3023851979MaRDI QIDQ5696846

C. D. D. Neumann, Michel H. Vellekoop, Jiri K. Hoogland

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0108137

zbMATH Keywords

option pricinghomogeneityjump diffusionlocal scale invariancepartial differential difference equations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic analysis (60H99) Credit risk (91G40)

Related Items

Weak convergence of tree methods to price options on defaultable assets, On the structure of Gaussian pricing models and Gaussian Markov functional models, Pricing and hedging guaranteed returns on mix funds

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