Pricing European option price in jump-diffusion model / Anisah Abdul Rahman, Siti Salihah Shaffie and Nadzri Mohamad

• मुख्य लेखकों: Abdul Rahman, Anisah (लेखक), Shaffie, Siti Salihah (लेखक), Mohamad, Nadzri (लेखक)
• स्वरूप: पुस्तक
• प्रकाशित: 2012.
• विषय: Conference or Workshop Item; PeerReviewed
• ऑनलाइन पहुंच: Link Metadata

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...