Pricing European option price in jump-diffusion model / Anisah Abdul Rahman, Siti Salihah Shaffie and Nadzri Mohamad
This research presents a numerical method for pricing European options. The method is based on the jump diffusion process. The Merton’s jump-diffusion model has become a popular model among researchers. The problem of pricing options with Black-Scholes framework remains a contemporary research topi...
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| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://ir.uitm.edu.my/id/eprint/43199/1/43199.pdf http://ir.uitm.edu.my/id/eprint/43199/ |
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