Exact solutions for bond and option prices with systematic jump risk
From MaRDI portal
Publication:375236
DOI10.1007/BF01536393zbMath1274.91448MaRDI QIDQ375236
Silverio Foresi, Sanjiv Ranjan Das
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (25)
Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility ⋮ The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes ⋮ Bond and option pricing for interest rate model with clustering effects ⋮ A BSDE approach for bond pricing under interest rate models with self-exciting jumps ⋮ The role of the risk-neutral jump size distribution in single-factor interest rate models ⋮ Discrete-time bond and option pricing for jump-diffusion processes ⋮ A Markov regime-switching marked point process for short-rate analysis with credit risk ⋮ An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices ⋮ Spectral GMM estimation of continuous-time processes ⋮ Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump ⋮ Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ The calibration of volatility for option pricing models with jump diffusion processes ⋮ Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions ⋮ Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models ⋮ Testing Distributions of Stochastically Generated Yield Curves ⋮ Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory ⋮ Numerical valuation of options with jumps in the underlying ⋮ Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows ⋮ Real-world jump-diffusion term structure models ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps ⋮ Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility ⋮ Implicit-explicit numerical schemes for jump-diffusion processes ⋮ Bayesian estimation of the stochastic volatility model with double exponential jumps ⋮ A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model ⋮ The surprise element: Jumps in interest rates.
Cites Work
- A Theory of the Term Structure of Interest Rates
- An Intertemporal General Equilibrium Model of Asset Prices
- Technical Note—An Inequality for the Variance of Waiting Time under a General Queuing Discipline
- Money, transactions and portfolio choice
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Exact solutions for bond and option prices with systematic jump risk
