Journal of applied mathematics & informatics

  • 제4권2호
  • /
  • Pages.379-386
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  • 1997
  • /
  • 2734-1194(pISSN)
  • /
  • 2234-8417(eISSN)
한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
권호 표지

ON THE OPTION VALUATION FOR A COMBINED DIFFUSION/POINT PROCESS MODEL

  • SIN DUK KANG (Department of mathematics University of Inchon)
  • 발행 : 1997.06.01

⟨ 이전 논문 다음 논문 ⟩

초록

This paper considers the price at time zero of a contingent claim when the process is a diffusion/point process model . And we apply this price to European option.

키워드

참고문헌

  1. Point processes and Queues P. Bremaud
  2. Advances in Appl. Probability v.9 Processus ponctuels et martingales: Resultats recents sur la modelisation et la filtrage P. Bremaud;J. Jacod