Finite difference method for basket option pricing under Merton model
In financial markets , dynamics of underlying assets are often specified via stochasticdifferential equations of jump - diffusion type . In this paper , we suppose that two financialassets evolved by correlated Brownian motion . The value of a contingent claim written on twounderlying assets under j...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2021-03-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_12255_953408dc2d9a5f138ee6c6a4f57f137e.pdf |