Option pricing for a jump-diffusion model with general discrete jump-size distributions
Michael C. Fu, Bingqing Li, Guozhen Li, Rongwen Wu
| Year of publication: |
November 2017
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|---|---|
| Authors: | Fu, Michael ; Li, Bingqing ; Li, Guozhen ; Wu, Rongwen |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 11, p. 3961-3977
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| Subject: | jump-diffusion process | option pricing | European option | generating function | lattice path | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2016.2522 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011772831