A Solution to Kolmogorov-Feller Equation and Pricing of Options
We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.
|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|
|Contact details of provider:|| Web page: http://arxiv.org/|
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