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.

View original: http://arxiv.org/abs/1303.4849