Option pricing under jump diffusion model

DOI10.1016/J.SPL.2024.110137MaRDI QIDQ6580270zbMATH OpenFDO

Authors Li Wang

Publication date 29 July 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110137

zbMATH Keywords

option pricingFeynman-Kac theoremmeasure transformationLévy jump

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A novel pricing method for European options based on Fourier-cosine series expansions
• A theory of the term structure of interest rates
• Affine processes and applications in finance
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Interest rate models -- theory and practice. With smile, inflation and credit
• Option pricing for a stochastic volatility Lévy model with stochastic interest rates
• Option pricing when underlying stock returns are discontinuous
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities

Cited in

(1)

• Pricing geometric Asian extremum options under mixed fractional Brownian motion with jumps

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