Discrete-time bond and option pricing for jump-diffusion processes

DOI10.1007/BF01531143zbMath1274.91479OpenAlexW3126098922MaRDI QIDQ375257

Sanjiv Ranjan Das

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531143

zbMATH Keywords

optionsjump-diffusionsbonds

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A Markov regime-switching marked point process for short-rate analysis with credit risk ⋮ Pricing American put option on zero-coupon bond in a jump-extended CIR model ⋮ A regime-switching model with jumps and its application to bond pricing and insurance

Cites Work

• The Pricing of Options and Corporate Liabilities
• Exact solutions for bond and option prices with systematic jump risk
• Point processes and queues. Martingale dynamics
• Approximations for functionals and optimal control problems on jump diffusion processes
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• An Intertemporal General Equilibrium Model of Asset Prices
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
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