The Value of European Option

DOI

10.2991/ammsa-17.2017.40How to use a DOI?

Keywords

option pricing; compound Poisson process; jump-diffusion process

Abstract

In this paper we study the patterns of behavior of the stock price and the results of Merton on European option pricing spread by stochastic analysis method. Assume that the stock price jump process is special class of compound Poisson process and the volatility without jump is the function of time. We derived the European option with continuous dividends pricing formula under the assumption of risk neutral and stock price jump process for of the compound Poisson process, to promote the results of Merton.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yunfeng Yang
AU  - Yingchun Zheng
PY  - 2017/05
DA  - 2017/05
TI  - The Value of European Option
BT  - Proceedings of the 2017 International Conference on Applied Mathematics, Modelling and Statistics Application (AMMSA 2017)
PB  - Atlantis Press
SP  - 187
EP  - 190
SN  - 1951-6851
UR  - https://doi.org/10.2991/ammsa-17.2017.40
DO  - 10.2991/ammsa-17.2017.40
ID  - Yang2017/05
ER  -