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)

• 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
• Linear complexity solution of parabolic integro-differential equations
• Testing for diffusion in a discretely observed semimartingale
• Exit problems in regime-switching models
• First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
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• Lookback option pricing for regime-switching jump diffusion models
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
• Statistical arbitrage in jump-diffusion models with compound Poisson processes
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
• How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
• Financial options pricing with regime-switching jump-diffusions
• Estimation and Calibration of Lévy Models via Fourier Methods
• Valuation of discrete dynamic fund protection under Lévy processes
• A tale of two volatilities
• Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude
• Stochastic volatility model with correlated jump sizes and independent arrivals
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
• Constant proportion portfolio insurance under a regime switching exponential Lévy process
• Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
• International reserve management: a drift-switching reflected jump-diffusion model
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
• Double barrier options in regime-switching hyper-exponential jump-diffusion models
• A general approach for lookback option pricing under Markov models
• Option pricing under the subordinated market models
• An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
• IMEX schemes for pricing options under jump-diffusion models
• American Option Valuation under Continuous-Time Markov Chains
• An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
• Options with constant underlying elasticity in strikes
• Static versus dynamic hedges: an empirical comparison for barrier options
• Jump-diffusion models with constant parameters for financial log-return processes
• Computation of the unknown volatility from integral option price observations in jump-diffusion models
• NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
• Modeling and Computation of CO₂Allowance Derivatives Under Jump-Diffusion Processes
• A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model
• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
• DG method for pricing European options under Merton jump-diffusion model.
• Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
• Parameters estimation using the first passage times method in a jump-diffusion model
• A switching self-exciting jump diffusion process for stock prices
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• Weak Euler approximation for Itô diffusion and jump processes
• A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
• Lewis model revisited: option pricing with Lévy processes
• Jump filtering and efficient drift estimation for Lévy-driven SDEs
• Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
• Robust test for dispersion parameter change in discretely observed diffusion processes
• The waterline tree for separable local-volatility models
• Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
• Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
• Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
• Valuing equity-linked death benefits with a threshold expense strategy
• Pricing discretely-monitored double barrier options with small probabilities of execution
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
• Pricing power exchange options with Hawkes jump diffusion processes
• The value of power-related options under spectrally negative Lévy processes
• Symmetric Gaussian mixture distributions with GGC scales
• Hilbert transform, spectral filters and option pricing
• Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
• Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
• Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
• Bayesian estimation of the stochastic volatility model with double exponential jumps
• Estimating functions for jump-diffusions
• Understanding the implied volatility surface for options on a diversified index

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