Options valuation included jumps in intervention period
[Oceňování opcí se zahrnutím skoků v období intervencí]
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DOI: 10.18267/j.cfuc.499
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References listed on IDEAS
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"Option pricing when underlying stock returns are discontinuous,"
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More about this item
Keywords
Option; Volatility; Jump diffusion model; Intervention; Opce; Volatilita; Model se skoky; Intervence;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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