@article{9ecfb35bae344e53b783617314d33712,
title = "Numerical simulations for the pricing of options in jump diffusion markets",
abstract = "In this paper we find numerical solutions for the pricing problem in jump diffusion markets. We consider a model where the underlying asset price is driven by the process sum of a Brownian motion and an independent compensated Poisson process. By risk neutral pricing the option price can be expressed as an expectation. We simulate the option's price numerically using Monte Carlo method.",
keywords = "European options, Incomplete markets, Model with jumps, Monte Carlo method",
author = "Youssef El-Khatib and Al-Mdallal, {Qasem M.}",
note = "Funding Information: The authors are thankful to the anonymous reviewer for his valuable comments, the inclusion of which led to an improved version of the paper. Furthermore, the authors would like to express their sincere appreciation to the United Arab Emirates University, Faculty of Science, for the financial support through Grant: FOS/IRG-19/11 (G00000873). Funding Information: The authors are thankful to the anonymous reviewer for his valuable comments, the inclusion of which led to an improved version of the paper. Furthermore, the authors would like to express their sincere appreciation to the United Arab Emirates University, Faculty of Science, for the financial support through Grant: FOS/IRG-19/11 (G00000873). Publisher Copyright: {\textcopyright} 2011",
year = "2012",
month = jul,
doi = "10.1016/j.ajmsc.2011.10.001",
language = "English",
volume = "18",
pages = "199--208",
journal = "Arab Journal of Mathematical Sciences",
issn = "1319-5166",
publisher = "Elsevier BV",
number = "2",
}