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Numerical valuation of options with jumps in the underlying

✍ Scribed by Ariel Almendral; Cornelis W. Oosterlee


Book ID
108057381
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
184 KB
Volume
53
Category
Article
ISSN
0168-9274

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## Abstract This article develops a discrete‐time, risk‐neutral valuation relation (RNVR) for the pricing of contingent claims when preferences in the economy are characterized by decreasing absolute risk aversion and the marginal distribution of the underlying is an inverse coshnormal. The RNVR is