Pricing European option price in jump-diffusion model / Anisah Abdul Rahman, Siti Salihah Shaffie and Nadzri Mohamad

This research presents a numerical method for pricing European options. The method is based on the jump diffusion process. The Merton’s jump-diffusion model has become a popular model among researchers. The problem of pricing options with Black-Scholes framework remains a contemporary research topi...

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Bibliographic Details

Main Authors:	Abdul Rahman, Anisah, Shaffie, Siti Salihah, Mohamad, Nadzri
Format:	Conference or Workshop Item
Language:	en
Published:	2012
Subjects:	General works. Financial institutions Capital costs Malaysia Investment, capital formation, speculation Financial leverage
Online Access:	https://ir.uitm.edu.my/id/eprint/43199/1/43199.pdf https://ir.uitm.edu.my/id/eprint/43199/
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