Open AccessA New Binomial Tree Method for European Options under the Jump Diffusion Model
Author(s) -
Lingkang Zhu,
Xiu Kan,
Huisheng Shu,
Zifeng Wang
Publication year - 2019
Publication title -
journal of applied mathematics and physics
Language(s) - English
Resource type - Journals
eISSN - 2327-4379
pISSN - 2327-4352
DOI - 10.4236/jamp.2019.712211
Subject(s) - binomial options pricing model , binomial (polynomial) , trinomial tree , jump diffusion , tree (set theory) , mathematics , jump , valuation of options , finite difference methods for option pricing , continuity correction , negative binomial distribution , binomial approximation , mathematical optimization , econometrics , beta binomial distribution , statistics , black–scholes model , mathematical analysis , poisson distribution , volatility (finance) , physics , quantum mechanics