Asymptotic analysis of options in a jump-diffusion model with binomial jump size distribution

Author： Benothman Lamia  

Publisher： Inderscience Publishers

ISSN： 2040-3607

Source： International Journal of Mathematical Modelling and Numerical Optimisation, Vol.4, Iss.1, 2013-01, pp. : 14-55

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps

By Albrecher Hansjörg   Kortschak Dominik   Zhou Xiaowen  

Applied Mathematical Finance, Vol. 19, Iss. 2, 2012-04 ,pp. : 97-129

Routledge Ltd

Access to resources Recommend Favorite

Perpetual barrier options in jump-diffusion models

By Gapeev Pavel  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 79, Iss. 1-2, 2007-02 ,pp. : 139-154

Taylor & Francis Ltd

Access to resources Recommend Favorite

Exchange Options Under Jump-Diffusion Dynamics

By Cheang Gerald   Chiarella Carl  

Applied Mathematical Finance, Vol. 18, Iss. 3, 2011-07 ,pp. : 245-276

Routledge Ltd

Access to resources Recommend Favorite

Coupling and option price comparisons in a jump-diffusion model

By Henderson* Vicky  

Stochastics and Stochastics Reports, Vol. 75, Iss. 3, 2003-01 ,pp. : 79-101

Taylor & Francis Ltd

Access to resources Recommend Favorite

Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model

By Yang Shu-Ling  

International Journal of Computer Mathematics, Vol. 88, Iss. 8, 2011-05 ,pp. : 1730-1748

Taylor & Francis Ltd

Access to resources Recommend Favorite