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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
DOI: 10.1016/j.apnum.2004.08.037

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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