Article ID Journal Published Year Pages File Type
4668648 Arab Journal of Mathematical Sciences 2012 10 Pages PDF
Abstract

In this paper we find numerical solutions for the pricing problem in jump diffusion markets. We utilize a model in which the underlying asset price is generated by a process that consists of a Brownian motion and an independent compensated Poisson process. By risk neutral pricing the option price can be expressed as an expectation. We simulate the option price numerically using the Monte Carlo method.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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