Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
Summary: We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in [\textit{J. E. Zhang} et al., Math. Finance 22, No. 3, 538--568 (2012; Zbl 1278.91069)]. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.
- An equilibrium approach of asset pricing under stochastic volatility jump-diffusion process with ``correlated jump
- Equilibrium asset and option pricing under jump diffusion
- Equilibrium approach of asset pricing under Lévy process
- Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
- Option Pricing When Jump Risk Is Systematic1
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A jump-diffusion model for option pricing
- A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
- Actuarial bridges to dynamic hedging and option pricing
- An Intertemporal General Equilibrium Model of Asset Prices
- Arbitrage pricing of contingent claims
- Asset Prices in an Exchange Economy
- Equilibrium asset and option pricing under jump diffusion
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1494228 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
- Minimal entropy martingale measures of jump type price processes in incomplete assets markets
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
- Option pricing when underlying stock returns are discontinuous
- Pricing contingent claims on stocks driven by Lévy processes
- Pricing options on realized variance
- The market for crash risk
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Utility maximization in incomplete markets with random endowment
- Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
- Equilibrium approach of asset pricing under Lévy process
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
- Equilibrium equity price with optimal dividend policy
- An equilibrium approach of asset pricing under stochastic volatility jump-diffusion process with ``correlated jump
- EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
- Hedging jump risk, expected returns and risk premia in jump-diffusion economies
- Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
- Equilibrium asset and option pricing under jump diffusion
- Dark Matter in (Volatility and) Equity Option Risk Premiums
- Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks
This page was built for publication: Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2319098)
