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)

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• Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
• Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
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• 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
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• An analysis of dollar cost averaging and market timing investment strategies
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• Valuation of discrete dynamic fund protection under Lévy processes
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• 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
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• 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
• A consistent pricing model for index options and volatility derivatives
• 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
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• 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
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• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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• On Maxima and Ladder Processes for a Dense Class of Lévy Process
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• On perpetual American put valuation and first-passage in a regime-switching model with jumps
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• 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
• Valuing credit default swap under a double exponential jump diffusion model
• 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
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• An iterative method for pricing American options under jump-diffusion models
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps

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