On the option valuation for a combined diffusion/point process model |
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Authors: | Won Choi Sin Duk Kang |
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Institution: | 1. Department of Mathematics, University of Inchon, 402-749, Inchon, Korea
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Abstract: | This paper considers the price at time zero of a contingent claim when the price process is a diffusion/point process model. And we apply this price to European option. |
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