Bull. Korean Math. Soc. 2002; 39(4): 705-714
Printed December 1, 2002
Copyright © The Korean Mathematical Society.
In-Suk Wee
Korea University
We consider a jump-diffusion model generated by a L\'{e}vy process for an asset price. We present an error estimate for the option prices between the jump-diffusion model and the Black-Scholes model when the former converges weakly to the latter.
Keywords: jump-diffusion model, Black-Scholes model, option price
MSC numbers: 60H30, 91B28, 91B70
2018; 55(4): 1241-1261
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