Option Pricing Under a Double Exponential Jump Diffusion Model
نویسندگان
چکیده
منابع مشابه
Option Pricing Under a Double Exponential Jump Diffusion Model
Analytical tractability is one of the challenges faced by many alternative models that try to generalize the Black-Scholes option pricing model to incorporate more empirical features. The aim of this paper is to extend the analytical tractability of the BlackScholes model to alternative models with jumps. We demonstrate a double exponential jump diffusion model can lead to an analytic approxima...
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Proof. Without loss of generality, we assume that pu > 0, qd > 0, pi 6= 0 for i = 1, · · · ,m, and qj 6= 0 for j = 1, · · · , n. First of all, it is easily seen that G(x) − α has the same roots as (G(x)−α) mi=1(x−ηi) ∏n j=1(x+ θj), which is a polynomial with order m+n+2. This implies that for any α ∈ R, the function G(x) = α has at most (m + n + 2) real roots. From now on we shall show that for...
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ژورنال
عنوان ژورنال: Management Science
سال: 2004
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.1030.0163