Estimation and prediction under local volatility jump-diffusion model

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

zbMATH Keywords

option pricingjump-diffusion modellocal volatility modelKOSPI 200 index option

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• Calibration and hedging under jump diffusion
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
• Do option markets correctly price the probabilities of movement of the underlying asset?
• Financial Modelling with Jump Processes
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Option pricing when underlying stock returns are discontinuous
• Robust numerical methods for contingent claims under jump diffusion processes
• Stability of an implicit method to evaluate option prices under local volatility with jumps
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(10)

• 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
• Volatility estimation for stochastic project value models
• Parameter estimation in stochastic volatility models
• RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model

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