A self-exciting threshold jump-diffusion model for option valuation

DOI10.1016/J.INSMATHECO.2016.05.008zbMath1369.91185OpenAlexW2401257423MaRDI QIDQ343990

Tak Kuen Siu

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.008

zbMATH Keywords

quadratic approximationgeneralized Esscher transformoption valuationpiecewise linear partial differential equationself-exciting threshold model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ A switching self-exciting jump diffusion process for stock prices ⋮ Pricing European vanilla options under a jump-to-default threshold diffusion model ⋮ Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model

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