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Probability theory / Lévy process / Characteristic function / Normal distribution / Methods of contour integration / Fourier transform / Gamma process / Martingale / Brownian motion / Statistics / Stochastic processes / Mathematical analysis


A SIMPLE OPTION FORMULA FOR GENERAL JUMP-DIFFUSION AND OTHER EXPONENTIAL LÉVY PROCESSES ALAN L. LEWIS* Envision Financial Systems and OptionCity.net
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Document Date: 2002-01-19 18:41:38

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File Size: 347,28 KB

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City

Newport / /

Company

OptionCity.net / L. LEWIS* Envision Financial Systems / /

Country

United States / /

Currency

pence / /

/

Facility

stable Lévy / /

IndustryTerm

stock buyer / power-law decay / finance / financial applications / /

Person

Bt / Kou / Merton / /

/

Position

rT / Black-Scholes model / model / double exponential model / jump-diffusion model / model for stocks / Merton’s jump-diffusion model / /

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