Convexity preserving jump-diffusion models for option pricing
نویسندگان
چکیده
منابع مشابه
Convexity Preserving Jump Diffusion Models for Option Pricing
A model for a set of stock prices is said to be convexity preserving if the price of any convex European claim is convex as a function of the underlying stock prices at all times prior to maturity. As is well-known, this property is intimately connected to certain monotonicity properties of the option price with respect to volatility and other parameters of the model. Generally speaking, if the...
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2007
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2006.07.088