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First passage times and option pricing under a mixed-exponential jump diffusion model (abstract only).
Steven S. G. Kou
Published in:
SIGMETRICS Perform. Evaluation Rev. (2012)
Keyphrases
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diffusion model
option pricing
anisotropic diffusion
black scholes
stock price
decision analysis
information diffusion
diffusion process
markov chain
real option
black scholes model
diffusion tensor
decision makers
natural images
non stationary