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QUANTITATIVE FINANCE VO L U M E 3 (2003) 145154 RE S E A R C H PA P E R INSTITUTE O F PHYSICS PUBLISHING quant.iop.org
 

Summary: QUANTITATIVE FINANCE VO L U M E 3 (2003) 145154 RE S E A R C H PA P E R
INSTITUTE O F PHYSICS PUBLISHING quant.iop.org
A two-state jump model
Claudio Albanese1
, Sebastian Jaimungal2
and
Dmitri H Rubisov3
1
Department of Mathematics, University of Toronto, 100 St George Street,
Toronto, ON, Canada M5S 3G3
2
Department of Statistics, University of Toronto, 100 St George Street,
Toronto, ON, Canada M5S 3G3
3
Bank Of Montreal, 100 King Street West, Toronto, ON, Canada M5X 1A9
Received 20 November 2002, in final form 7 February 2003
Published 24 March 2003
Online at stacks.iop.org/Quant/3/145
Abstract
We introduce a pricing model for equity options in which sample paths follow

  

Source: Albanese, Claudio - Department of Mathematics, King's College London
Jaimungal, Sebastian - Department of Statistics, University of Toronto

 

Collections: Mathematics