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Valuation of Compound Options under Jump-diffusion Model

Title
Valuation of Compound Options under Jump-diffusion Model
Authors
Zeng Yingying
Date Issued
2012
Publisher
포항공과대학교
Abstract
We discuss a general risk-neutral pricing of compound option under jump- diffusion model with log-normally distributed jumps. Call on call option is dis- cussed in detail and other types of compound option can be handled similarly. We obtain an explicit pricing formula which is a series of Black-Scholes type for- mulas. The resulting pricing formula is further examined under a specific risk- neutral measure.
URI
http://postech.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000001390012
http://oasis.postech.ac.kr/handle/2014.oak/1651
Article Type
Thesis
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