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Option pricing under jump diffusion model.

Authors :
Li, Qian
Wang, Li
Source :
Statistics & Probability Letters. Aug2024, Vol. 211, pN.PAG-N.PAG. 1p.
Publication Year :
2024

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]

Details

Language :
English
ISSN :
01677152
Volume :
211
Database :
Academic Search Index
Journal :
Statistics & Probability Letters
Publication Type :
Periodical
Accession number :
177483663
Full Text :
https://doi.org/10.1016/j.spl.2024.110137