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.
Original language | English |
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Pages (from-to) | 199-208 |
Number of pages | 10 |
Journal | Arab Journal of Mathematical Sciences |
Volume | 18 |
Issue number | 2 |
DOIs | |
Publication status | Published - Jul 2012 |
Keywords
- European options
- Incomplete markets
- Model with jumps
- Monte Carlo method
ASJC Scopus subject areas
- General Mathematics