A jump-diffusion model for option pricing

DOI10.1287/MNSC.48.8.1086.166zbMATH Open1216.91039OpenAlexW3122167020MaRDI QIDQ136006FDOQ136006

Authors: S. G. Kou, S. G. Kou 

Publication date: August 2002

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.48.8.1086.166

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zbMATH Keywords

heavy tailscontingent claimshigh peakinterest rate modelsoverreaction and underreactionrational expectations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (only showing first 100 items - show all)

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• First crossing times of telegraph processes with jumps
• Clustered Lévy processes and their financial applications
• Decomposition formula for jump diffusion models
• A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
• Credit-equity modeling under a latent Lévy firm process
• Exchange option pricing in jump-diffusion models based on Esscher transform
• A multiresolution method for parameter estimation of diffusion processes
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Pricing discrete barrier options and credit default swaps under Lévy processes
• Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
• Pricing and hedging for correlation options with regime switching and common jump risk
• A structural jump-diffusion model for pricing collateralized debt obligations tranches
• Numerical methods for a class of jump-diffusion systems with random magnitudes
• Jump systems with the mean-reverting \(\gamma \)-process and convergence of the numerical approximation
• Jump diffusion model with application to the Japanese stock market
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• From local volatility to local Lévy models
• An RBF-FD method for pricing American options under jump-diffusion models
• Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• An approximation of American option prices in a jump-diffusion model
• A European option pricing model in a stochastic and fuzzy environment
• Calibration of stochastic volatility models: a Tikhonov regularization approach
• Testing for pure-jump processes for high-frequency data
• Pricing Israeli options: a pathwise approach
• Intra‐Horizon expected shortfall and risk structure in models with jumps
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• Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
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• Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
• Modeling chinese stock returns with stable distribution
• Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
• Options pricing with time changed Lévy processes under imprecise information
• A general framework for time-changed Markov processes and applications
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• Optimal design of profit sharing rates by FFT
• Fast numerical valuation of options with jump under Merton's model
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
• An intensity model for credit risk with switching Lévy processes
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
• Parametric and nonparametric models and methods in financial econometrics
• Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
• Option pricing in jump diffusion models with quadratic spline collocation
• A high order finite element scheme for pricing options under regime switching jump diffusion processes
• Valuation of stock loans with jump risk
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
• Quasi-Monte Carlo methods for the Kou model
• High-order methods for the option pricing under multivariate rough volatility models
• Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• Optimal asset allocation for DC pension decumulation with a variable spending rule
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
• Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
• Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
• Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
• Dividend derivatives
• Dividend derivatives
• Modeling the risk in mortality projections
• American option valuation under time changed tempered stable Lévy processes
• Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
• Equilibrium asset and option pricing under jump diffusion
• Pricing foreign equity option with stochastic volatility
• Pricing turbo warrants under mixed-exponential jump diffusion model
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
• Volatility smile as relativistic effect
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
• Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
• Pricing and hedging of quantile options in a flexible jump diffusion model
• Parisian options with jumps: a maturity-excursion randomization approach
• An improved Markov chain approximation methodology: derivatives pricing and model calibration
• Optimal stopping for Lévy processes with one-sided solutions
• A universal difference method for time-space fractional Black-Scholes equation
• Option pricing, maturity randomization and distributed computing
• On the First Passage Time Under Regime-Switching with Jumps
• Pricing American options under jump-diffusion models using local weak form meshless techniques
• A data-driven framework for consistent financial valuation and risk measurement
• Computation of Greeks using binomial trees in a jump-diffusion model
• Spatial asymptotics at infinity for heat kernels of integro-differential operators
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• An analysis of dollar cost averaging and market timing investment strategies
• An efficient algorithm for Bermudan barrier option pricing

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