Option Pricing Under a Mixed-Exponential Jump Diffusion Model.

Ning Cai Steven S. G. Kou

Published in: Manag. Sci. (2011)

Keyphrases

diffusion model
option pricing
stock price
black scholes
decision analysis
information diffusion
anisotropic diffusion
diffusion process
markov chain
real option
black scholes model
diffusion tensor
multiscale
stock market
multi criteria