Pricing of exponential European option under jump-diffusion models
From MaRDI portal
Recommendations
- Pricing European options under jump-diffusion models
- scientific article; zbMATH DE number 5026589
- scientific article; zbMATH DE number 5163411
- Option pricing under jump-diffusion processes with regime switching
- Pricing of bi-direction European options on stocks driven by Poisson jump diffusion process
Cited in
(29)- A jump-diffusion model for option pricing
- Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
- On pricing European call option on exponential Lévy model with jumps in interest rate
- The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate
- Pricing forward starting call option in a jump diffusion model
- Pricing of bi-direction European options with jump diffusion and stochastic interest rates
- Option pricing under mixed exponential jump diffusion model based on the FST method
- Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks
- Pricing of bi-direction European options on stocks driven by Poisson jump diffusion process
- Option pricing of a dividends-payment model with a jump-diffusion
- The foreign exchange option pricing of diffusion process with jumps
- Foreign currency option pricing under jump diffusion processes
- Pricing European options under jump-diffusion models
- Pricing of european options when the underlying stock price follows a linear birth-death process
- Correction to: ``Exchange option under jump-diffusion dynamics
- Pricing occupation-time options in a mixed-exponential jump-diffusion model
- scientific article; zbMATH DE number 2096689 (Why is no real title available?)
- European option pricing when the riskfree interest rate follows a jump process
- scientific article; zbMATH DE number 1453184 (Why is no real title available?)
- Pricing chooser options under Lévy jump-diffusion processes
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- scientific article; zbMATH DE number 7108747 (Why is no real title available?)
- Parameter estimation of the option pricing formula on a class of jump-diffusion models
- Pricing European options in a bivariate jump-diffusion model
- A class of option pricing models based on jump-diffusion processes
- scientific article; zbMATH DE number 2245625 (Why is no real title available?)
- Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
- Option pricing under jump diffusion model
- Uniform asymptotic expansions for pricing European options
This page was built for publication: Pricing of exponential European option under jump-diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3501860)
