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)

• 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
• 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
• Exponential functionals of Lévy processes and variable annuity guaranteed benefits
• A general framework for pricing Asian options under Markov processes
• Pricing American options when asset prices jump
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• Fast exponential time integration scheme for option pricing with jumps.
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• Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
• An empirical model of volatility of returns and option pricing
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
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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
• Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model
• Efficient computation of first passage times in Kou's jump-diffusion model
• Option pricing when underlying stock returns are discontinuous
• A fuzzy approach to option pricing in a Lévy process setting
• Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• The Term Structure of Simple Forward Rates with Jump Risk
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• A non-Gaussian option pricing model with skew
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• Efficient solution of a partial integro-differential equation in finance
• On pricing and hedging options in regime-switching models with feedback effect
• Closed-form option pricing for exponential Lévy models: a residue approach
• Positive finite difference schemes for a partial integro-differential option pricing model
• Pricing vulnerable European options under Lévy process with stochastic volatility
• First passage times of a jump diffusion process
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics
• Third-order extensions of Lo's semiparametric bound for European call options
• Test for dispersion constancy in stochastic differential equation models
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• Meromorphic Lévy processes and their fluctuation identities
• Asymptotic results for time-changed Lévy processes sampled at hitting times
• Fast and accurate pricing of barrier options under Lévy processes
• The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models
• A jump model for fads in asset prices under asymmetric information
• A discontinuous mispricing model under asymmetric information
• Full Bayesian Analysis for a Class of Jump-Diffusion Models
• A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
• Approximating Lévy processes with a view to option pricing
• Prices of barrier and first-touch digital options in Lévy-driven models, near barrier

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