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Start Over Descriptor "feynman-kac theorem" Publication Type Magazines
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1. Option pricing under jump diffusion model.

Author

Li, Qian and Wang, Li

Subjects
*JUMP processes, *PRICES, *LEVY processes, *INTEREST rates, *INFINITE series (Mathematics)
Abstract

We provide an European option pricing formula written in the form of an infinite series of Black–Scholes-type terms under double Lévy jumps model, where both the interest rate and underlying price are driven by Lévy processes. The series solution converges with a radius of convergence, and it is complemented by some numerical experiments to demonstrate its speed of convergence. [ABSTRACT FROM AUTHOR]

Published
2024
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