The representation of American options prices under stochastic volatility and jump-diffusion dynamics (Q5746758): Difference between revisions

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scientific article; zbMATH DE number 6256472

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English	The representation of American options prices under stochastic volatility and jump-diffusion dynamics	scientific article; zbMATH DE number 6256472

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scholarly article

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title

The representation of American options prices under stochastic volatility and jump-diffusion dynamics (English)

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8 February 2014

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zbMATH Keywords

American options

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jump-diffusion processes

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stochastic volatility

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free boundary problems

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2011.587828

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cites work

Moment explosions in stochastic volatility models

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The Pricing of Options and Corporate Liabilities

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THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES

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American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach

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Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

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Local martingales, bubbles and option prices

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Two singular diffusion problems

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Changes of numéraire, changes of probability measure and option pricing

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Analytical Valuation of American Options on Jump‐Diffusion Processes

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Martingales and stochastic integrals in the theory of continuous trading

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Minimal \(f^q\)-Martingale measures for exponential Lévy processes

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On the pricing of American options

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A Jump-Diffusion Model for Option Pricing

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Option pricing when underlying stock returns are discontinuous

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ON THE AMERICAN OPTION PROBLEM

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Q4435813

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Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

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American options exercise boundary when the volatility changes randomly

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On the martingale property of stochastic exponentials

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Identifiers

zbMATH Open document ID

1280.91165

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DOI

10.1080/14697688.2011.587828

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5746758

@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
+Normal rank
@@ Property / cites work @@
+American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
+Normal rank
@@ Property / cites work @@
+Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
+Normal rank
@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+Analytical Valuation of American Options on Jump‐Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Minimal \(f^q\)-Martingale measures for exponential Lévy processes
+Normal rank
@@ Property / cites work @@
+On the pricing of American options
@@ Property / cites work: On the pricing of American options / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+ON THE AMERICAN OPTION PROBLEM
@@ Property / cites work: ON THE AMERICAN OPTION PROBLEM / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
+Normal rank
@@ Property / cites work @@
+American options exercise boundary when the volatility changes randomly
+Normal rank
@@ Property / cites work @@
+On the martingale property of stochastic exponentials
+Normal rank