Jump-diffusion models with constant parameters for financial log-return processes
Author:
Publisher
Elsevier BV
Subject
Computational Mathematics,Computational Theory and Mathematics,Modeling and Simulation
Reference7 articles.
1. Transform analysis and option pricing for affine jump-diffusions;Duffie;Econometrica,2000
2. Stochastic analysis of jump-diffusions for financial log-return processes;Hanson,2002
3. Option pricing when underlying stock returns are discontinuous;Merton;Journal of Financial Economics,1976
4. A jump-diffusion model for option pricing;Kou;Management Science,2002
5. Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models;Hanson;Contemporary Mathematics,2004
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