Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4668648 | Arab Journal of Mathematical Sciences | 2012 | 10 Pages |
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)
Authors
Youssef El-Khatib, Qasem M. Al-Mdallal,