Estimation and prediction under local volatility jump-diffusion model
From MaRDI portal
Publication:2148668
DOI10.1016/J.PHYSA.2017.09.035OpenAlexW2762454022MaRDI QIDQ2148668FDOQ2148668
Authors: Namhyoung Kim, Younhee Lee 
Publication date: 24 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.09.035
Recommendations
- Parameter estimation in stochastic volatility models
- A hybrid option pricing model using a neural network for estimating volatility
- Implied volatility in oil markets
- The calibration of volatility for option pricing models with jump diffusion processes
- Empirical study of Nikkei 225 options with the Markov switching GARCH model
Cites Work
- The pricing of options and corporate liabilities
- A jump-diffusion model for option pricing
- Financial Modelling with Jump Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Do option markets correctly price the probabilities of movement of the underlying asset?
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- Robust numerical methods for contingent claims under jump diffusion processes
- Calibration and hedging under jump diffusion
- Stability of an implicit method to evaluate option prices under local volatility with jumps
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
Cited In (8)
- Implied volatility in oil markets
- Local \(M\)-estimation for jump-diffusion processes
- Financial events risk assessment based on historical data analysis
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
This page was built for publication: Estimation and prediction under local volatility jump-diffusion model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2148668)
