A Solution to Kolmogorov-Feller Equation and Pricing of Options
AbstractWe study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1303.4849.
Date of creation: Mar 2013
Date of revision:
Publication status: Published in International Symposium in Commemoration of the 65th Anniversary of the Foundation of Kim Il Sung University (Mathematics)20-21. Sep. Juche100(2011), Pyongyang DPR Korea, 111-114pp
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
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