Option Pricing For Jump Diffusions: Approximations and Their Interpretation
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Cites work
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- The pricing of options and corporate liabilities
Cited in
(30)- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- Completeness of securities market models -- an operator point of view
- Approximating payoffs and pricing formulas
- Stability for multidimensional jump-diffusion processes
- An approximation of American option prices in a jump-diffusion model
- Asymptotic analysis of options in a jump-diffusion model with binomial jump size distribution
- Portfolio selection with jumps under regime switching
- Assessing the impact of jumps in an option pricing model: a gradient estimation approach
- Saddlepoint approximations for affine jump-diffusion models
- An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps
- Long-term behavior of stochastic interest rate models with jumps and memory
- Simulation of jump diffusions and the pricing of options
- scientific article; zbMATH DE number 5163411 (Why is no real title available?)
- scientific article; zbMATH DE number 1234543 (Why is no real title available?)
- scientific article; zbMATH DE number 7028579 (Why is no real title available?)
- Analysis of a jump-diffusion option pricing model with serially correlated jump sizes
- Decomposition formula for jump diffusion models
- Option pricing in affine generalized Merton models
- Approximate pricing of discrete maximum valued options
- scientific article; zbMATH DE number 7409960 (Why is no real title available?)
- Options pricing for several maturities in a jump-diffusion model
- Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL
- Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
- Pricing Cliquet Options in Jump-Diffusion Models
- Pricing Perpetual Options for Jump Processes
- Diffusion approximations of the geometric Markov renewal processes and option price formulas
- Diffusion approximation in past dependent models and applications to option pricing
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