| Autor: |
Carrada-Herrera, R., Grudsky, S. M., Palomino-Jiménez, C., Porter, R. M. |
| Jazyk: |
angličtina |
| Rok vydání: |
2013 |
| Předmět: |
|
| Zdroj: |
Commun. Math. Anal. 14, no. 2 (2013), 40-66 |
| Popis: |
We consider standard European as well as double-barrier European options for underlyings that are given by the superposition of a Guassian and a compound Poisson (jump) process with discrete values. We derive a formula for calculating such options and furthermore show that as the barriers tend to $\pm\infty$, the value of the double-barrier option tends asymptotically to that of the standard option. Numerical examples are provided. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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