A New Binomial Tree Method for European Options under the Jump Diffusion Model
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...
متن کاملclosed 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 Applied Mathematics and Physics
سال: 2019
ISSN: 2327-4352,2327-4379
DOI: 10.4236/jamp.2019.712211