As above, the Black Scholes equation is a partial differential equation, which describes the price of the option over time The equation is
2004 Kazuhisa Matsuda All rights troduction to Merton Jump Diffusion Model Kazuhisa Matsuda Department of Economics The Graduate Center, The City. FX options pricing in logarithmic mean reversion jump diffusion model with stochastic volatility.
Cookies are used by this site For more information, visit the cookies page. Abstract: In this paper, we study a partial differential equationPDE) framework for option pricing where the underlying factors exhibit stochastic correlation, with.