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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• On the threshold dividend strategy for a generalized jump-diffusion risk model
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• Analytical valuation of catastrophe equity options with negative exponential jumps
• Option pricing with Legendre polynomials
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• The calibration of volatility for option pricing models with jump diffusion processes
• Path-dependent option pricing under a two-sided jump-diffusion model
• Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
• Pricing currency derivatives with Markov-modulated Lévy dynamics
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• A general closed form option pricing formula
• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• A spectral element framework for option pricing under general exponential Lévy processes
• Wavelet Galerkin pricing of American options on Lévy driven assets
• TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
• Tangent Lévy market models
• A simple model for option pricing with jumping stochastic volatility
• American-style options in jump-diffusion models: estimation and evaluation
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• Memory-reduction method for pricing American-style options under exponential Lévy processes.
• The integral option in a model with jumps
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• Tri-diagonal preconditioner for pricing options
• The minimal entropy martingale measures for exponential additive processes
• An efficient numerical method for pricing option under jump diffusion model
• Identification of the local speed function in a Lévy model for option pricing
• Runge-Kutta methods for jump-diffusion differential equations
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• Stability of an implicit method to evaluate option prices under local volatility with jumps
• Almost sure and moment exponential stability of regime-switching jump diffusions
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• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
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• Efficient pricing of swing options in Lévy-driven models
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• PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
• Weak convergence of marked point processes generated by crossings of multivariate jump processes. applications to neural network modeling
• A self-exciting threshold jump-diffusion model for option valuation
• Numerical schemes for option pricing in regime-switching jump diffusion models
• Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
• Estimation of the characteristics of a Lévy process
• Spectral calibration of exponential Lévy models
• Combinatorial identities derived from the Kou jump-diffusion model
• A tree approach to options pricing under regime-switching jump diffusion models
• Optimal processing rate and buffer size of a jump-diffusion processing system
• Return distributions of equity-linked retirement plans under jump and interest rate risk
• Estimation and prediction under local volatility jump-diffusion model
• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
• Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
• Numerical methods for Lévy processes
• Continuously monitored barrier options under Markov processes
• Simulation of jump diffusions and the pricing of options
• Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
• Hybrid Laplace transform and finite difference methods for pricing American options under complex models
• Optimality of payoffs in Lévy models
• Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models
• An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing
• Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process
• On the numerical evaluation of option prices in the variance gamma model
• Valuing credit derivatives in a jump-diffusion model
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model
• On the linear combination, product and ratio of normal and Laplace random variables
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
• A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
• A class of option pricing models based on jump-diffusion processes
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
• The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
• A hidden Markov-modulated jump diffusion model for European option pricing
• Hierarchical matrix approximations for space-fractional diffusion equations
• Correlated continuous time random walk and option pricing
• 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

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