Showing 1 - 10 of 26
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically tractable formulae for the prices of a range of...
Persistent link: https://www.econbiz.de/10013149810
Persistent link: https://www.econbiz.de/10001448505
Persistent link: https://www.econbiz.de/10001106370
Persistent link: https://www.econbiz.de/10001553046
Persistent link: https://www.econbiz.de/10000753404
Persistent link: https://www.econbiz.de/10003093868
Persistent link: https://www.econbiz.de/10010363955
Persistent link: https://www.econbiz.de/10009573490
The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Black-Scholes formula in the case of continuous sample paths for a wide variety of complete market structures. In the discontinuous case a Merton-type formula is...
Persistent link: https://www.econbiz.de/10003780966
Persistent link: https://www.econbiz.de/10011931506