Computational option pricing under jump diffusion and Lévy processes

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Chatzipanagou, Eleftheria;
(2015)
  • Subject: QA
    arxiv: Computer Science::Computer Science and Game Theory

The shortcomings of diffusion models in representing the risk related to large market movements have led to the development of various option pricing models with jumps. These models allow for a more realistic representation of price dynamics and greater flexibility in m... View more
  • References (1)

    Wang, I. R. (2007). Forsyth, P. A., Wan, J. W. L. Robust numerical valuation of european and american options under CGMY process. www.cs.uwaterloo.ca/ paforsyt/.

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