@inbook{d5300d386f0d4f1aa3880446906a7e76,
title = "Option Pricing Under Jump-Diffusion Processes",
abstract = "This chapter extends the hedging argument of option pricing developed for continuous diffusion processes previously to the situations when the underlying asset price is driven by the jump-diffusion stochastic differential equations. By constructing hedging portfolios and employing the capital asset pricing model, we provide an option pricing integro-partial differential equations and a general solution. We also examine alternative ways to construct the hedging portfolio and to price option when the jump sizes are fixed.",
keywords = "Asset Price, Capital Asset Price Model, Excess Return, Option Price, Stock Price",
author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",
note = "Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",
year = "2015",
doi = "10.1007/978-3-662-45906-5_13",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "273--293",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}