A Note on the Kou’s Continuity Correction Formula
نویسندگان
چکیده
This article introduces a hyper-exponential jump diffusion process based on the continuity correction for discrete barrier options under the standard B-S model, using measure transformation and stopping time theory to prove the correction, thus broadening the conditions of the continuity correction of Kou.
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تاریخ انتشار 2015