PDF4PRO ⚡AMP

Modern search engine that looking for books and documents around the web

Example: bachelor of science

Jump-Diffusion Models for Asset Pricing in …

Back to document page

Birge and V. Linetsky (Eds.),Handbooks in OR & MS, Vol. 15Copyright 2008 Elsevier All rights reservedDOI: (07)15002-7Chapter 2Jump- diffusion Models for Asset Pricing inFinancial KouDepartment of Industrial Engineering and Operations Research, Columbia this survey we shall focus on the following issues related to Jump-Diffusion mod-els for Asset Pricing in financial engineering. (1) The controversy over tailweight ofdistributions. (2) Identifying a risk-neutral Pricing measure by using the rational ex-pectations equilibrium. (3) Using Laplace transforms to Pricing options, includingEuropean call/put options, path-dependent options, such as barrier and lookback op-tions.

Ch. 2. Jump-Diffusion Models for Asset Pricing in Financial Engineering 75 structure models, and Chen and Kou (2005) for applications in credit risk and

  Model, Diffusion, Jump, Jump diffusion models for

Download Jump-Diffusion Models for Asset Pricing in …


Information

Domain:

Source:

Link to this page:

Please notify us if you found a problem with this document:

Spam in document Broken preview Other abuse

Related search queries