A jump-diffusion model for option pricing
From MaRDI portal
Recommendations
- A class of option pricing models based on jump-diffusion processes
- Option pricing under jump-diffusion models with mean-reverting bivariate jumps
- scientific article; zbMATH DE number 5026589
- scientific article; zbMATH DE number 1069622
- Pricing of exponential European option under jump-diffusion models
Cited in
(only showing first 100 items - show all)- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Analytical valuation of catastrophe equity options with negative exponential jumps
- On first passage times of a hyper-exponential jump diffusion process
- A jump-diffusion model for option pricing under fuzzy environments
- Third-order extensions of Lo's semiparametric bound for European call options
- A tale of two volatilities
- Alternative models for stock price dynamics.
- An empirical model of volatility of returns and option pricing
- Pricing foreign equity option with stochastic volatility
- Correlated continuous time random walk and option pricing
- Pricing turbo warrants under mixed-exponential jump diffusion model
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- American option valuation under time changed tempered stable Lévy processes
- Volatility smile as relativistic effect
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- A general framework for time-changed Markov processes and applications
- Computation of Greeks using binomial trees in a jump-diffusion model
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
- Analytic techniques for option pricing under a hyperexponential Lévy model
- Computation of market risk measures with stochastic liquidity horizon
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
- American options under periodic exercise opportunities
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Calibration of stochastic volatility models: a Tikhonov regularization approach
- Moment matching machine learning methods for risk management of large variable annuity portfolios
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- Costly arbitrage through pairs trading
- Option pricing under jump-diffusion models with mean-reverting bivariate jumps
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- Optimal investment in markets with over and under-reaction to information
- Optimal exercise boundary via intermediate function with jump risk
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
- Efficient computation of first passage times in Kou's jump-diffusion model
- Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits
- Algorithms of finite difference for pricing American options under fractional diffusion models
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- Pricing vulnerable European options under Lévy process with stochastic volatility
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
- An approximation scheme for impulse control with random reaction periods
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
- A modified Black-Scholes pricing formula for European options with bounded underlying prices
- Opaque bank assets and optimal equity capital
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- The risk premium that never was: a fair value explanation of the volatility spread
- Direct data-based decision making under uncertainty
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- Tangent Lévy market models
- Numerical valuation of options with jumps in the underlying
- A closed-form expansion approach for pricing discretely monitored variance swaps
- Weak time-derivatives and no-arbitrage pricing
- Options pricing with time changed Lévy processes under imprecise information
- A universal difference method for time-space fractional Black-Scholes equation
- An approximation of American option prices in a jump-diffusion model
- An efficient algorithm for Bermudan barrier option pricing
- First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
- Decomposition of default probability under a structural credit risk model with jumps
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Hedging for the long run
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
- Valuation of stock loans with jump risk
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- A switching self-exciting jump diffusion process for stock prices
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
- Robust test for dispersion parameter change in discretely observed diffusion processes
- The waterline tree for separable local-volatility models
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- Lewis model revisited: option pricing with Lévy processes
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- A data-driven framework for consistent financial valuation and risk measurement
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Pricing power exchange options with Hawkes jump diffusion processes
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Bayesian estimation of the stochastic volatility model with double exponential jumps
- The value of power-related options under spectrally negative Lévy processes
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- Adaptation to climate change: extreme events versus gradual changes
- Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods
- Default probability of American lookback option in a mixed jump-diffusion model
- Option pricing under the subordinated market models
- Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
- Assessing the impact of jumps in an option pricing model: a gradient estimation approach
- Exact simulation of the first passage time through a given level of jump diffusions
- Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications
- Computable error bounds of multidimensional Euler inversion and their financial applications
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
This page was built for publication: A jump-diffusion model for option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q136006)
