Assessing the impact of jumps in an option pricing model: a gradient estimation approach

DOI10.1016/J.EJOR.2021.07.015MaRDI QIDQ2076852zbMATH OpenOpenAlexFDO

Authors Warren Volk-Makarewicz, Svetlana Borovkova, Bernd Heidergott

Publication date 22 February 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.ejor.2021.07.015

zbMATH Keywords

\(t\)-testfinancegradient estimationmodel riskoption pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Parameter estimation of the option pricing formula on a class of jump-diffusion models
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
• ERROR ESTIMATES FOR OPTION PRICES IN JUMP-DIFFUSION MODELS
• APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL
• Exact and approximated option pricing in a stochastic volatility jump-diffusion model
• A jump-diffusion model for option pricing
• Option Pricing For Jump Diffusions: Approximations and Their Interpretation
• scientific article; zbMATH DE number 7155558

Cites work

• A jump-diffusion model for option pricing
• A measure-valued differentiation approach to sensitivities of quantiles
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1005357 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Model risk of contingent claims
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Multilevel Monte Carlo Path Simulation
• Option pricing when underlying stock returns are discontinuous
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Robust risk measurement and model risk
• Stochastic simulation: Algorithms and analysis
• Testing for jumps in a discretely observed process
• Testing for non-correlation between price and volatility jumps
• Threshold bipower variation and the impact of jumps on volatility forecasting

Cited in

(1)

• Fifty years at the interface between financial modeling and operations research

This page was built for publication: Assessing the impact of jumps in an option pricing model: a gradient estimation approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2076852)