Numerical simulations for the pricing of options in jump diffusion markets
Author:
Publisher
Emerald
Subject
General Mathematics
Reference12 articles.
1. Incompleteness of markets driven by a mixed diffusion;Bellamy;Finance Stochast,2000
2. The pricing of options and corporate liabilities;Black;J Polit Econ,1973
3. Options: a Monte Carlo approach;Boyle;J Financ Econ,1977
4. Complete markets with discontinuous security price;Dritschel;Finance Stochast,1999
5. Hedging in complete markets driven by normal martingales;El-Khatib;Applicationes Mathematicae,2003
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