Option pricing under a Markov-modulated Merton jump-diffusion dividend

DOI10.1080/03610926.2021.1928205OpenAlexW3165664287WikidataQ110650899 ScholiaQ110650899MaRDI QIDQ6107581

Huisheng Shu, Xuekang Zhang, Haoran Yi, Unnamed Author

Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1928205

zbMATH Keywords

option pricingMarkov-modulatedrisk-neutral measurediscrete dividendesscher transform

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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