The forward PDE for european options on stocks with fixed fractional jumps

International Journal of Theoretical and Applied Finance

Volumn 8, Issue 2, 2005, Pages 239-253

  Carr, Peter ^a,b   Javaheri, Alireza ^c,d  

^a NEW YORK UNIVERSITY   (United States)

^b Bloomberg LP ^*  (United States)

^c CITIGROUP   (United States)

^d PSL RESEARCH UNIVERSITY   (France)

Author keywords

Credit risk; Default risk; Forward equations; Jump diffusion

Indexed keywords

EID: 14844354228     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024905002974     Document Type: Article

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