ダウンロード数: 1068
| タイトル: | Pricing Path-Dependent Options with Jump Risk via Laplace Transforms |
| 著者: | Kou, Steven Petrella, Giovanni Wang, Hui |
| キーワード: | jump diffusion American options American options barrier and lookback options |
| 発行日: | 2005 |
| 出版者: | Graduate School of Economics, Kyoto University |
| 引用: | Steven Kou, Giovanni Petrella and Hui Wang; “Pricing Path-Dependent Options with Jump Risk via Laplace Transforms”, The Kyoto Economic Review, Vol. 74, pp.1-23 (2005) . |
| 誌名: | The Kyoto Economic Review |
| 巻: | 74 |
| 号: | 1 |
| 開始ページ: | 1 |
| 終了ページ: | 23 |
| 抄録: | We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American options, under a double exponential jump diffusion model. Our numerical results indicate that the method is fast, accurate, and easy to implement without requiring high precision calculations in Laplace inversion. |
| DOI: | 10.11179/ker.74.1 |
| URI: | http://hdl.handle.net/2433/24837 |
| 出現コレクション: | Vol.74 No.1 |
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