Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
Published Online:1 Nov 2007https://doi.org/10.1287/opre.1070.0419
Supplemental Material
opre.1070.0419-sm-ec.pdf (58 KB)
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Volume 56, Issue 2
March-April 2008
Pages ii-526
Article Information
Supplemental Material
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Information
- Received:January 01, 2006
- Accepted:November 01, 2006
- Published Online:November 01, 2007
Copyright © 2008, INFORMS
Cite as
Liming Feng, Vadim Linetsky, (2007) Pricing Options in Jump-Diffusion Models: An Extrapolation Approach. Operations Research 56(2):304-325.
https://doi.org/10.1287/opre.1070.0419
Keywords
