Valuation of stock loans with jump risk
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Control and Optimization,Economics and Econometrics
Reference20 articles.
1. Jump diffusion option valuation in discrete time;Amin;J. Finance,1993
2. Efficient analytic approximation of American option values;Barone-Adesi;J. Finance,1987
3. On first passage times of the hyper-exponential jump diffusion process;Cai;Oper. Res. Lett.,2009
4. Option pricing under a mixed-exponential jump diffusion model;Cai;Manag. Sci.,2011
5. Optimal redeeming strategy of stock loans with finite maturity;Dai;Math. Finance,2011
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