English

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

R2 v1 2026-06-28T10:37:47.702Z