Option pricing under a double exponential jump diffusion model

Management Science

Volumn 50, Issue 9, 2004, Pages 1178-1192

  Kou, S G ^a   Wang, Hui ^b  

^a 312 Mudd Building ^*  (United States)

^b BROWN UNIVERSITY   (United States)

Author keywords

Contingent claims; Heavy tails; High peak; Overshoot; Volatility smile

Indexed keywords

BLACK-SCHOLES MODEL; CONSTANT ELASTICITY OF VARIATION (CEV); CONTINGENT CLAIMS; OPTION PRICING;

APPROXIMATION THEORY; BROWNIAN MOVEMENT; COMPUTER SIMULATION; FUNCTIONS; MATHEMATICAL MODELS; THEOREM PROVING;

MANAGEMENT SCIENCE;

EID: 4944226109     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.1030.0163     Document Type: Article

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