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WANG Wei, WANG Wen-sheng, WANG Shuai. Pricing forward starting call option in a jump diffusion model[J]. Journal of East China Normal University (Natural Sciences), 2009, (5): 107-117.
Citation:
WANG Wei, WANG Wen-sheng, WANG Shuai. Pricing forward starting call option in a jump diffusion model[J]. Journal of East China Normal University (Natural Sciences), 2009, (5): 107-117.
WANG Wei, WANG Wen-sheng, WANG Shuai. Pricing forward starting call option in a jump diffusion model[J]. Journal of East China Normal University (Natural Sciences), 2009, (5): 107-117.
Citation:
WANG Wei, WANG Wen-sheng, WANG Shuai. Pricing forward starting call option in a jump diffusion model[J]. Journal of East China Normal University (Natural Sciences), 2009, (5): 107-117.
By the way of change of measure, a closed solution of pricing formula of European forward starting call option was given in a double exponential jump diffusion model. Moreover, a problem of pricing forward call option when the log jump size has a general distribution was also considered.
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