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Results tagged with derivatives
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user 15336
A financial contract whose payoff is linked to the evolution of an underlying security.
3
votes
Question in "Computational Methods in Finance" by Ali Hirsa - Chapter 2: Derivatives Pricing...
Fubini's theorem is only used to reverse the order of integration. We have:
$\int_{-\infty}^{\infty}{e^{i\nu k} \left( C \int_k^{\infty} \left( e^x - e^k \right) q(x) dx \right) dk} = \int_{-\infty}^ …
- 520
1
vote
How to price an European Call/Put Option of a jump difussion Process?
There are three main issues. As per my comment, one is the lack of specification for the distribution of the jumps (I'll assume that there is a $J_0 = 0$ at time 0 (otherwise, the process doesn't acco …
- 520