Option Pricing Under a Mixed-Exponential Jump Diffusion Model
Author:
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Strategy and Management
Link
https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.1110.1393
Reference41 articles.
1. The Fourier-series method for inverting transforms of probability distributions
2. Russian and American put options under exponential phase-type Lévy models
3. On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts
4. Empirical Performance of Alternative Option Pricing Models
5. Sufficient Conditions for a Mixture of Exponentials to be a Probability Density Function
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