Pricing European vanilla options under a jump-to-default threshold diffusion model.

Yiming Jiang Shiyu Song Yongjin Wang

Published in: J. Comput. Appl. Math. (2018)

Keyphrases

diffusion model
option pricing
black scholes model
double exponential
information diffusion
diffusion models
anisotropic diffusion
influence maximization
diffusion process
diffusion tensor
markov chain
stock price
laplace transform
motion estimation
social networks
state space
image processing