ON THE OPTION VALUATION FOR A COMBINED DIFFUSION/POINT PROCESS MODEL

  • SIN DUK KANG (Department of mathematics University of Inchon)
  • Published : 1997.06.01

Abstract

This paper considers the price at time zero of a contingent claim when the process is a diffusion/point process model . And we apply this price to European option.

Keywords

References

  1. Point processes and Queues P. Bremaud
  2. Advances in Appl. Probability v.9 Processus ponctuels et martingales: Resultats recents sur la modelisation et la filtrage P. Bremaud;J. Jacod