Browsing Mathematics (Faculty of) by Subject "financial option pricing"
Now showing items 1-1 of 1
-
Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models
(University of Waterloo, 2007-10-01)The evolution of the price of two financial assets may be modeled by correlated geometric Brownian motion with additional, independent, finite activity jumps. Similarly, the evolution of the price of one financial asset ...