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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• Lookback option pricing for regime-switching jump diffusion models
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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
• 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
• 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
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• 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
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• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
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• 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
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
• Fast exponential time integration scheme for option pricing with jumps.
• Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
• Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies

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