Option pricing under jump diffusion model
Pricing of Securities
2023-05-19 v1 Probability
Abstract
We provide an European option pricing formula written in the form of an infinite series of Black Scholes type terms under double Levy jumps model, where both the interest rate and underlying price are driven by Levy process. The series solution converges with a radius of convergence, and it is complemented by some numerical experiments to demonstrate its speed of convergence.
Keywords
Cite
@article{arxiv.2305.10678,
title = {Option pricing under jump diffusion model},
author = {Qian Li and Li Wang},
journal= {arXiv preprint arXiv:2305.10678},
year = {2023}
}
Comments
14 pages, 4 figures