Ioan Mihai Oancea

National Bank of Canada

Director, Liability Driven Investments

Canada

Other Papers (1)

Total Downloads: 9
1.

Jump-Diffusion Option Valuation Without a Representative Investor: A Stochastic Dominance Approach

Number of pages: 40 Posted: 17 Mar 2009
Ioan Mihai Oancea and Stylianos Perrakis
National Bank of Canada and Concordia University, Quebec - John Molson School of Business
Downloads 9

Abstract:

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option pricing, incomplete markets, stochastic dominance, jump-diffusion