Compound Option Pricing under a Double Exponential Jump-Diffusion Model
碩士 === 國立成功大學 === 財務金融研究所 === 97 === This paper introduces the jump-diffusion process into pricing compound options and derives the related valuation formulas. We assume that the dynamic of the underlying asset return process consists of a drift component, a continuous Wiener process and discontinuo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/01758835014765166549 |