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- W2352871486 abstract "By applying the martingale approach and the change of numeraire technique,the closed-form solutions of European call option are obtained under jump-diffusion model where the relative jump sizes of stock's price follow a log-binomial distribution,and the pricing formula of the future option is further gained.Finally,the numerical results in our proposed model against the Black-Scholes prices through numerical example are comparatively analyzed." @default.
- W2352871486 created "2016-06-24" @default.
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- W2352871486 date "2008-01-01" @default.
- W2352871486 modified "2023-09-28" @default.
- W2352871486 title "Pricing European Options in a Bivariate Jump-diffusion Model" @default.
- W2352871486 hasPublicationYear "2008" @default.
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