A Solution to Kolmogorov-Feller Equation and Pricing of Options

Name: A Solution to Kolmogorov-Feller Equation and Pricing of Options
Author: Ju-Gyong Kim, Il-Su Choe

Ju-Gyong Kim, Il-Su Choe

paper2013-03-20English

derivatives pricingarxiv

Description

We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.

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