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

• Asıl Yazarlar: Abdul Rahman, Anisah (Yazar), Shaffie, Siti Salihah (Yazar), Mohamad, Nadzri (Yazar)
• Materyal Türü: Kitap
• Baskı/Yayın Bilgisi: 2012.
• Konular: Conference or Workshop Item; PeerReviewed
• Online Erişim: 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...