Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications

DOI10.1016/J.JEDC.2022.104518MaRDI QIDQ2098012zbMATH OpenOpenAlexWikidataFDO

Authors Chao Shi

Publication date 17 November 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104518

zbMATH Keywords

barrier optionexponent equationlookback optionmixed-exponential jump diffusion modeltransform inversion

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
• A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering
• Approximation with generalized hyperexponential distributions: Weak convergence results
• Computable Error Bounds of Laplace Inversion for Pricing Asian Options
• Estimation of affine asset pricing models using the empirical characteristic function
• First passage times of a jump diffusion process
• Hybrid Laplace transform and finite difference methods for pricing American options under complex models
• Modeling service–time distributions with non–exponential tails:beta mixtures of exponentials
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
• Option pricing when underlying stock returns are discontinuous
• Pricing Asian options under a hyper-exponential jump diffusion model
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
• The Fourier-series method for inverting transforms of probability distributions
• The pricing of options and corporate liabilities
• Time changes, Laplace transforms and path-dependent options

Cited in

(3)

• Computable error bounds of multidimensional Euler inversion and their financial applications
• Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
• A jump-diffusion Stackelberg stochastic differential game in optimal carbon abatement strategies with green subsidy

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