Title: Pricing power options in a jump diffusion model
Abstract: Under the assumption that the underlying asset prices obey jump diffusion processes and the market interest satisfies Vasicek model,and when the interest is correlated with the asset prices,by the way of change of measure,a closed solution of pricing of power option was given.Moreover,some special situations were considered.
Publication Year: 2011
Publication Date: 2011-05-25
Language: en
Type: article
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