Numerical simulations for the pricing of options in jump diffusion markets

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5 Citations (Scopus)

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 languageEnglish
Pages (from-to)199-208
Number of pages10
JournalArab Journal of Mathematical Sciences
Volume18
Issue number2
DOIs
Publication statusPublished - Jul 2012

Keywords

  • European options
  • Incomplete markets
  • Model with jumps
  • Monte Carlo method

ASJC Scopus subject areas

  • Mathematics(all)

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