Jump diffusion model with application to the Japanese stock market

DOI10.1016/j.matcom.2008.01.030zbMath1216.91040OpenAlexW1972848466MaRDI QIDQ929689

Koichi Maekawa, Ken-ichi Kawai, Takayuki Morimoto, Sangyeol Lee

Publication date: 18 June 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.030

zbMATH Keywords

option pricingjump diffusion modelKou's modelbipower testJapanese stock market

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Related Items (2)

Modeling chinese stock returns with stable distribution ⋮ Voter interacting systems applied to Chinese stock markets

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• THE GARCH OPTION PRICING MODEL
• Testing and estimating change-points in time series
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• Financial Modelling with Jump Processes
• The Cusum Test for Parameter Change in Time Series Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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