Stability of the European option value function under jump-diffusion process

MaRDI QIDQ4605918zbMATH OpenFDO

Authors S. Hussain, Sameera Bano, Zakir Hussain, Nasir Rehman

Publication date 27 February 2018

Full work available at URL http://pu.edu.pk/images/journal/maths/PDF/Paper-7_49_3_17.pdf

zbMATH Keywords

European optionjump-diffusion processstochastic differential equationvalue functionvariational equalities

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(1)

• Stability of an implicit method to evaluate option prices under local volatility with jumps

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