A Note on the Kou’s Continuity Correction Formula


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.

Conflicts of Interest

The authors declare no conflicts of interest.


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