Pricing European option price in jump-diffusion model / Anisah Abdul Rahman, Siti Salihah Shaffie and Nadzri Mohamad

• Main Authors: Abdul Rahman, Anisah, Shaffie, Siti Salihah, Mohamad, Nadzri
• Format: Conference or Workshop Item
• Language: English
• Published: 2012
• Subjects: General works. Financial institutions; Capital costs; Malaysia; Investment, capital formation, speculation; Financial leverage
• Online Access: http://ir.uitm.edu.my/id/eprint/43199/1/43199.pdf; http://ir.uitm.edu.my/id/eprint/43199/
• Institution: Universiti Teknologi Mara

This research presents a numerical method for pricing European options. The method is based on the jump diffusion process. The Merton’s jump-diffusion model has become a popular model among researchers. The problem of pricing options with Black-Scholes framework remains a contemporary research topi...