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A Solution to Kolmogorov-Feller Equation and Pricing of Options

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  • Ju-Gyong Kim
  • Il-Su Choe
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    Abstract

    We 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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    File URL: http://arxiv.org/pdf/1303.4849
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1303.4849.

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    Date of creation: Mar 2013
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    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
    Handle: RePEc:arx:papers:1303.4849

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    Web page: http://arxiv.org/

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