Option pricing: Assets with jumps - The deepening understanding of jump processes in recent years has been an exciting development for financial prac titioners. However, while the impact on derivatives pricing has been profound, analytical treatments have proved complex. The author develops a new approach using log-exponential jumps.
Year of publication: |
2002
|
---|---|
Authors: | Lipton, Alexander |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 9, p. 149-153
|
Saved in:
Saved in favorites
Similar items by person
-
Mitigation strategies for COVID-19: Lessons from the K-SEIR model calibrated to the observable data
Lipton, Alexander, (2022)
-
Blockchains and distributed ledgers in retrospective and perspective
Lipton, Alexander, (2018)
-
Rennie, Andrew, (2011)
- More ...