Thursday, March 21, 2013

1303.4849 (Ju-Gyong Kim et al.)

A Solution to Kolmogorov-Feller Equation and Pricing of Options    [PDF]

Ju-Gyong Kim, Il-Su Choe
We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.
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