Option pricing under jump-diffusion models with mean-reverting bivariate jumps
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Publication:1667167
DOI10.1016/J.ORL.2013.11.004zbMATH Open1408.91222OpenAlexW2069190899MaRDI QIDQ1667167FDOQ1667167
Wan-Ling Chao, Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin
Publication date: 27 August 2018
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2013.11.004
Recommendations
jump-diffusion modelsoptions pricingmean-revertingbivariate jumpsdiscrete Ornstein-Uhlenbeck processimplied volatility smiles
Cites Work
- A Jump-Diffusion Model for Option Pricing
- Option pricing when underlying stock returns are discontinuous
- The surprise element: Jumps in interest rates.
- Analysis of the Discrete Ornstein-Uhlenbeck Process Caused by the Tick Size Effect
- Analytical valuation of American options on jump-diffusion processes.
Cited In (12)
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- STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING
- Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Analysis of a jump-diffusion option pricing model with serially correlated jump sizes
- Title not available (Why is that?)
- A discontinuous mispricing model under asymmetric information
- Title not available (Why is that?)
- Title not available (Why is that?)
- Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
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