A Solution to Kolmogorov-Feller Equation and Pricing of Options

Ju-Gyong Kim and Il-Su Choe

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Abstract: We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.

Date: 2013-03
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Published in International Symposium in Commemoration of the 65th Anniversary of the Foundation of Kim Il Sung University (Mathematics)20-21. Sep. Juche100(2011), Pyongyang DPR Korea, 111-114pp

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