Open Journal of Social Sciences

Volume 3, Issue 11 (November 2015)

ISSN Print: 2327-5952   ISSN Online: 2327-5960

Google-based Impact Factor: 1.63  Citations  

A Note on the Kou’s Continuity Correction Formula

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DOI: 10.4236/jss.2015.311005    3,267 Downloads   4,209 Views  

ABSTRACT

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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Liu, T. , Feng, C. , Lu, Y. and Yao, B. (2015) A Note on the Kou’s Continuity Correction Formula. Open Journal of Social Sciences, 3, 28-34. doi: 10.4236/jss.2015.311005.

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