Showing 1 - 2 of 2
We derive a computable approximation for the value of a European call option when prices satisfy a jump-diffusion model with the coefficients depending explicitly on time. This is achieved by approximating the original coefficients with functions that are piecewise constant in time. We give an...
Persistent link: https://www.econbiz.de/10008521998
Persistent link: https://www.econbiz.de/10012538287