Options Pricing for Several Maturities%0Ain a Jump-Diffusion Model外文电子书籍.pdfVIP

Options Pricing for Several Maturities in a Jump-Diffusion Model Anatoly Gormin and Yuri Kashtanov Abstract Estimators for options prices with different maturities are constructed on the same trajectories of the underlying asset price process. The weighted sum of their variances (the weighted variance) is chosen as a criterion of minimization. Optimal estimators with minimal weighted variance are pointed out in the case of a jump-diffusion model. The efficiency of the constructed estimators is discussed and illustrated on particular examples. 1 Introduction Monte Car