February 19th, 2013, 11:30 pm
So you are trying to price an option on a asset whose log is driven by a Brownian motion plus a compound Poisson process where the jumps can only take two possible values (like up x+% with probability p and down x-% with probability 1 - p)? Can you be more specific please?
Last edited by
LocalVolatility on February 19th, 2013, 11:00 pm, edited 1 time in total.