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

DOI10.1007/BF01531143MaRDI QIDQ375257zbMATH OpenOpenAlexFDO

Authors Sanjiv R. 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

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

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Cites work

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

Cited in

(10)

• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• A Markov regime-switching marked point process for short-rate analysis with credit risk
• An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
• 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
• Bond and option pricing for interest rate model with clustering effects
• Pricing options on securities with discontinuous returns
• Exact solutions for bond and option prices with systematic jump risk
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• scientific article; zbMATH DE number 5588947 (Why is no real title available?)

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