A Note on the Kou’s Continuity Correction Formula | Zendy

Ting Liu | Zendy; Feng Chang | Zendy; Yanqiong Lu | Zendy; Boqing Yao | Zendy

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A Note on the Kou’s Continuity Correction Formula

Author(s) -

Ting Liu,

Feng Chang,

Yanqiong Lu,

Boqing Yao

Publication year - 2015

Publication title -

open journal of social sciences

Language(s) - English

Resource type - Journals

eISSN - 2327-5960

pISSN - 2327-5952

DOI - 10.4236/jss.2015.311005

Subject(s) - transformation (genetics) , jump , measure (data warehouse) , mathematics , jump diffusion , process (computing) , exponential function , calculus (dental) , diffusion , computer science , mathematical analysis , physics , quantum mechanics , data mining , medicine , biochemistry , chemistry , dentistry , gene , operating system

This article introduces a hyper-exponential jump diffusion process based on the continuity correction for discrete barrier options under the standard B-S model, using measure transformation and stopping time theory to prove the correction, thus broadening the conditions of the continuity correction of Kou.

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