Pricing and Dynamic Hedging of Barrier Options Based on Willow Tree Method Under Jump Diffusion Model

DONG Bing, WANG Yifan, ZHONG Huiyong

Journal of Systems Science and Mathematical Sciences ›› 2023, Vol. 43 ›› Issue (8) : 2033-2044.

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Journal of Systems Science and Mathematical Sciences ›› 2023, Vol. 43 ›› Issue (8) : 2033-2044. DOI: 10.12341/jssms22302

Pricing and Dynamic Hedging of Barrier Options Based on Willow Tree Method Under Jump Diffusion Model

  • DONG Bing1, WANG Yifan2, ZHONG Huiyong1
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of System Science and Mathematical Science Chinese Series, 2023, 43(8): 2033-2044 https://doi.org/10.12341/jssms22302

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