Pricing European option price in jump-diffusion model / Anisah Abdul Rahman, Siti Salihah Shaffie and Nadzri Mohamad
This research presents a numerical method for pricing European options. The method is based on the jump diffusion process. The Merton's jump-diffusion model has become a popular model among researchers. The problem of pricing options with Black-Scholes framework remains a contemporary research...
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| Main Authors: | , , |
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| Format: | Book |
| Published: |
2012.
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| Subjects: | |
| Online Access: | Link Metadata |
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Internet
Link Metadata3rd Floor Main Library
| Call Number: |
A1234.567 |
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| Copy 1 | Available |