𝔖 Bobbio Scriptorium
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Unifying exotic option closed formulas

✍ Scribed by Carlos Veiga, Uwe Wystup, Manuel L. Esquível

Book ID
113078842
Publisher
Springer US
Year
2011
Tongue
English
Weight
313 KB
Volume
15
Category
Article
ISSN
1380-6645

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✍ António Câmara; Steven L. Heston 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 294 KB

## Abstract This paper explores the effect of extreme events or big jumps downwards and upwards on the jump‐diffusion option pricing model of Merton (1976). It starts by obtaining a special case of the jump‐diffusion model where there is a positive probability of a big jump downwards. Then, it obta