Pricing American Options in a Jump Diffusion Model.

Meihui Guo Yu-Chun Chang Shih-Feng Huang

Published in: CSE (2011)

Keyphrases

diffusion model
option pricing
black scholes model
double exponential
diffusion models
anisotropic diffusion
information diffusion
influence maximization
diffusion tensor
stock price
diffusion process
markov chain
laplace transform
real option
multiscale
computer vision
higher order
state space