Risk-Neutral Option Pricing for Log-Uniform Jump-Amplitude Jump-Diffusion Model
نویسندگان
چکیده
منابع مشابه
Risk-neutral Option Pricing for Log-uniform Jump-amplitude Jump-diffusion Model
Reduced European call and put option formulas by risk-neutral valuation are given. It is shown that the European call and put options for log-uniformjump-diffusion models are worth more than that for the Black-Scholes (diffusion) model with the common parameters. Due to the complexity of the jump-diffusion models, obtaining a closed option pricing formula like that of Black-Scholes is not tract...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2208191