Valuation of Compound Options under Jump-diffusion Model
- Title
- Valuation of Compound Options under Jump-diffusion Model
- Authors
- Zeng Yingying
- Date Issued
- 2012
- Publisher
- 포항공과대학교
- Abstract
- We discuss a general risk-neutral pricing of compound option under jump- diffusion model with log-normally distributed jumps. Call on call option is dis- cussed in detail and other types of compound option can be handled similarly. We obtain an explicit pricing formula which is a series of Black-Scholes type for- mulas. The resulting pricing formula is further examined under a specific risk- neutral measure.
- URI
- http://postech.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000001390012
https://oasis.postech.ac.kr/handle/2014.oak/1651
- Article Type
- Thesis
- Files in This Item:
- There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.