ADAPTIVE MESH MODELING AND BARRIER OPTION PRICING UNDER A JUMP-DIFFUSION PROCESS
β Scribed by Michael Albert; Jason Fink; Kristin E. Fink
- Book ID
- 111215573
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 293 KB
- Volume
- 31
- Category
- Article
- ISSN
- 0270-2592
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This study derives approximate valuation formulas for basket options and Asian options under the jumpβdiffusion process. To obtain an approximation for options prices under the jumpβdiffusion process, we extend the Taylor expansion method developed by Ju N. (2002) under the diffusion pr
Numerous studies present strong empirical evidence that certain financial assets may exhibit mean reversion, stochastic volatility or jumps. This paper explores the valuation of European options when the underlying asset follows a mean reverting log-normal process with stochastic volatility and jump