Kou S Model
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1. Modelos de precificação de opções com saltos: análise econométrica do modelo de Kou no mercado acionário brasileiro / Option pricing models with jumps: econometric analysis of the Kuos model in the Brazilian equity market
This master dissertation reviews the academic literature about option pricing and hedging with jumps. The theory was equalized and the notation was standardized, becoming this document a reference document about this subject. The log-normality with constant volatility is not accepted by the market. Academics search consistent models with the same analytical
Publicado em: 2007