Pricing double-barrier options under a flexible jump diffusion model.

Ning Cai Nan Chen Xiangwei Wan

Published in: Oper. Res. Lett. (2009)

Keyphrases

diffusion model
option pricing
anisotropic diffusion
diffusion models
information diffusion
influence maximization
double exponential
diffusion process
black scholes model
laplace transform
markov chain
computer vision
x ray
diffusion tensor