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THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS.

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Bibliographic Details
Title: THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS.
Authors: Carr, Peter1,2 pcarr@nyc.rr.com, Javaheri, Alireza3,4 alireza.javaheri@citigroup.com
Source: International Journal of Theoretical & Applied Finance. Mar2005, Vol. 8 Issue 2, p239-253. 15p.
Database: Mathematics Source
Description
ISSN:02190249
DOI:10.1142/S0219024905002974