搜索结果: 1-2 共查到“数学 jump diffusion models”相关记录2条 . 查询时间(0.359 秒)
Continuity correction for barrier options in jump-diffusion models
Barrier option Bessel process Continuity correction Exponential L´ evy model
2011/2/22
The aim of this paper is to study the continuity correction for barrier options in jump-diffusion models. For this purpose, we express the pay-off of a barrier option in terms of the maximum of the un...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
partial integro-differential equation jump diffusion models
2010/4/27
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a part...