Option pricing under jump-diffusion models with mean-reverting bivariate jumps

DOI10.1016/J.ORL.2013.11.004MaRDI QIDQ1667167zbMATHzbMATHOpenAlexFDO

Authors Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Wan-Ling Chao

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

zbMATH Keywords

jump-diffusion modelsoptions pricingmean-revertingbivariate jumpsdiscrete Ornstein-Uhlenbeck processimplied volatility smiles

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• scientific article; zbMATH DE number 6164319
• Analysis of a jump-diffusion option pricing model with serially correlated jump sizes
• Pricing European options in a bivariate jump-diffusion model
• A jump-diffusion model for option pricing
• Pricing European options under jump-diffusion models

Cites work

• A jump-diffusion model for option pricing
• Analysis of the discrete Ornstein-Uhlenbeck process caused by the tick size effect
• Analytical valuation of American options on jump-diffusion processes.
• Option pricing when underlying stock returns are discontinuous
• The surprise element: Jumps in interest rates.

Cited in

(19)

• scientific article; zbMATH DE number 7009472 (Why is no real title available?)
• A discontinuous mispricing model under asymmetric information
• scientific article; zbMATH DE number 6164319 (Why is no real title available?)
• scientific article; zbMATH DE number 7409960 (Why is no real title available?)
• scientific article; zbMATH DE number 6718662 (Why is no real title available?)
• scientific article; zbMATH DE number 6719129 (Why is no real title available?)
• STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING
• Analysis of a jump-diffusion option pricing model with serially correlated jump sizes
• Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
• A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
• Option pricing under the jump diffusion and multifactor stochastic processes
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps
• A jump-diffusion model for option pricing
• Pricing of spread options on a bivariate jump market and stability to model risk
• Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields
• scientific article; zbMATH DE number 6671412 (Why is no real title available?)
• Pricing European options in a bivariate jump-diffusion model

This page was built for publication: Option pricing under jump-diffusion models with mean-reverting bivariate jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1667167)