Pricing options in jump-diffusion models: an extrapolation approach
L Feng, V Linetsky - Operations Research, 2008 - pubsonline.informs.org
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …
models. The option value function for European and barrier options satisfies a partial …
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
L Feng, V Linetsky - Operations Research, 2008 - dl.acm.org
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …
models. The option value function for European and barrier options satisfies a partial …
Pricing options in jump-diffusion models: An extrapolation approach
L Feng, V Linetsky - Operations Research, 2008 - scholars.northwestern.edu
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …
models. The option value function for European and barrier options satisfies a partial …
[PDF][PDF] Pricing Options in Jump-Diffusion Models: an Extrapolation Approach
L Feng, V Linetsky - researchgate.net
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …
models. The option value function for European and barrier options satisfies a partial …
Pricing options in jump-diffusion models: An extrapolation approach
L Feng, V Linetsky - Operations Research, 2008 - experts.illinois.edu
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …
models. The option value function for European and barrier options satisfies a partial …
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
L Feng, V Linetsky - Operations Research, 2008 - econpapers.repec.org
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …
models. The option value function for European and barrier options satisfies a partial …
[引用][C] Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
L FENG, V LINETSKY - Operations research, 2008 - pascal-francis.inist.fr
Pricing Options in Jump-Diffusion Models : An Extrapolation Approach CNRS Inist Pascal-Francis
CNRS Pascal and Francis Bibliographic Databases Simple search Advanced search Search by …
CNRS Pascal and Francis Bibliographic Databases Simple search Advanced search Search by …
[引用][C] Pricing Options in Jump-Diffusion Models: An Extrapolation Approach.
L Feng, V Linetsky - Operations research, 2008 - dialnet.unirioja.es
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
L Feng, V Linetsky - Operations Research, Forthcoming - papers.ssrn.com
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial integro …
models. The option value function for European and barrier options satisfies a partial integro …
[PDF][PDF] Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
L Feng, V Linetsky - OPERATIONS RESEARCH, 2008 - Citeseer
Since Merton's (1976) pioneering work, jump-diffusion processes have become a standard
modeling tool in equity, foreign exchange, fixed income, commodity, and energy derivatives …
modeling tool in equity, foreign exchange, fixed income, commodity, and energy derivatives …