Game Russian Options for Double Exponential Jump Diffusion Processes
نویسندگان
چکیده
منابع مشابه
Closed formulas for the price and sensitivities of European options under a double exponential jump diffusion model
We derive closed formulas for the prices of European options andtheir sensitivities when the underlying asset follows a double-exponentialjump diffusion model, as considered by S. Kou in 2002. This author hasderived the option price by making use of double series where each termrequires the computation of a sequence of special functions, such thatthe implementation remains difficult for a large...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2014
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2014.41005