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Exchange option pricing in jump-diffusion models based on esscher transform
- Source :
- Communications in Statistics - Theory and Methods. 47:4661-4672
- Publication Year :
- 2018
- Publisher :
- Informa UK Limited, 2018.
-
Abstract
- In the real world, we introduce a dynamic model about the risky asset which is governed by Brownian motion, stationary compound Poisson process and its compensation process. By choosing Ess...
Details
- ISSN :
- 1532415X and 03610926
- Volume :
- 47
- Database :
- OpenAIRE
- Journal :
- Communications in Statistics - Theory and Methods
- Accession number :
- edsair.doi...........4d7351d45f36d6c26e75a8400d4a9d60