Option pricing when asset returns jump interruptedly

DOI10.1002/ASMB.1935MaRDI QIDQ6570855zbMATH OpenFDO

Authors Daniel Wei-Chung Miao, Steve Hsin-Ting Yu

Publication date 10 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.1935

zbMATH Keywords

analytical solutionheavy tailinterrupted Poisson processjump-diffusion modeloption pricingregime switchingvolatility smile

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A jump-diffusion model for option pricing
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• scientific article; zbMATH DE number 3782177 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
• Temporal aggregation of Markov-switching financial return models
• The Interrupted Poisson Process As An Overflow Process
• The pricing of options and corporate liabilities

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