We introduce a discrete trinomial market model, with the relative risk-neutral measures, that converges in law to a jump-diffusion model. In this model we value the arbitrage price of an option and we verify numerically the goodness of the convergence of prices.
A discrete-time approximation for jump-diffusion option valuation.
Zambonin, Alberto
2019/2020
Abstract
We introduce a discrete trinomial market model, with the relative risk-neutral measures, that converges in law to a jump-diffusion model. In this model we value the arbitrage price of an option and we verify numerically the goodness of the convergence of prices.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.12608/23948