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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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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