Abstract

This paper presents the implementation to the class of jump diffusion models of the approach used by Boyarchenko and Levendorskii (2002) in the case of exponential Levy models. We show that this approach is more computationally efficient than the semi closed form solutions derived by Kou (2002), especially compared to the latter case. A brand new model is then presented. It extends and generalizes Kou model.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.