Option Pricing Driven by a Telegraph Process with Random Jumps
نویسندگان
چکیده
منابع مشابه
Option Pricing with Jumps
The double barrier option is characterized by pay-off with strike K, maturity T, upper Su and lower Sd barrier levels and the corresponding rebates φu and φd which can be time dependent. We divide last four quantities by strike K and introduce new variables x = ln(S/K), xu = ln(Su/K), xd = ln(Sd/K). The value of European double barrier call option U(t, x) satisfies the extended Black-Scholes eq...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2012
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1346955337