Proceedings of the 2017 International Conference on Applied Mathematics, Modelling and Statistics Application (AMMSA 2017)

The Value of European Option

Authors
Yunfeng Yang, Yingchun Zheng
Corresponding Author
Yunfeng Yang
Available Online May 2017.
DOI
10.2991/ammsa-17.2017.40How to use a DOI?
Keywords
option pricing; compound Poisson process; jump-diffusion process
Abstract

In this paper we study the patterns of behavior of the stock price and the results of Merton on European option pricing spread by stochastic analysis method. Assume that the stock price jump process is special class of compound Poisson process and the volatility without jump is the function of time. We derived the European option with continuous dividends pricing formula under the assumption of risk neutral and stock price jump process for of the compound Poisson process, to promote the results of Merton.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2017 International Conference on Applied Mathematics, Modelling and Statistics Application (AMMSA 2017)
Series
Advances in Intelligent Systems Research
Publication Date
May 2017
ISBN
978-94-6252-355-5
ISSN
1951-6851
DOI
10.2991/ammsa-17.2017.40How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yunfeng Yang
AU  - Yingchun Zheng
PY  - 2017/05
DA  - 2017/05
TI  - The Value of European Option
BT  - Proceedings of the 2017 International Conference on Applied Mathematics, Modelling and Statistics Application (AMMSA 2017)
PB  - Atlantis Press
SP  - 187
EP  - 190
SN  - 1951-6851
UR  - https://doi.org/10.2991/ammsa-17.2017.40
DO  - 10.2991/ammsa-17.2017.40
ID  - Yang2017/05
ER  -