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)

• 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
• Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
• Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
• High-order short-time expansions for ATM option prices of exponential Lévy models
• Numerical solution of two asset jump diffusion models for option valuation
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Jump diffusion models and the evolution of financial prices
• Costly arbitrage through pairs trading
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
• A jump-diffusion model for option pricing under fuzzy environments
• Laplace bounds approximation for American options
• Estimating jump-diffusions using closed-form likelihood expansions
• A penalty method for a fractional order parabolic variational inequality governing American put option valuation
• A fast calibrating volatility model for option pricing
• Hermite polynomial based expansion of European option prices
• Distribution-free option pricing
• Large deviations for multi-scale jump-diffusion processes
• Investment and financing for SMEs with a partial guarantee and jump risk
• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
• An investigation of model risk in a market with jumps and stochastic volatility
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
• On the conditional default probability in a regulated market with jump risk
• Nonparametric tests for pathwise properties of semimartingales
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
• Properties of multinomial lattices with cumulants for option pricing and hedging
• Maximum likelihood estimation of the double exponential jump-diffusion process
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options
• Pricing double-barrier options under a flexible jump diffusion model
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
• Rational Krylov methods in exponential integrators for European option pricing.
• On first passage times of a hyper-exponential jump diffusion process
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
• Risk neutral jump arrival rates implied in option prices and their models
• Valuing equity-linked death benefits in a regime-switching framework
• Option pricing under jump-diffusion models with mean-reverting bivariate jumps
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
• An extension of CreditGrades model approach with Lévy processes
• First Order Strong Approximations of Jump Diffusions
• Pricing VIX options with stochastic skew and asymmetric jumps
• A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
• Numerical valuation of options with jumps in the underlying
• A componentwise splitting method for pricing American options under the Bates model
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• MaxVaR with non-Gaussian distributed returns
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Z-Transform and preconditioning techniques for option pricing
• Alternative models for stock price dynamics.
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• 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
• 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

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