Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model
From MaRDI portal
Publication:3094682
DOI10.1239/jap/1316796904zbMath1230.60088OpenAlexW2167029501MaRDI QIDQ3094682
Publication date: 25 October 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1316796904
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60) Laplace transform (44A10)
Related Items
Pricing turbo warrants under mixed-exponential jump diffusion model ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ The pricing of basket options: a weak convergence approach ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
- On first passage times of a hyper-exponential jump diffusion process
- The Fourier-series method for inverting transforms of probability distributions
- Some applications of occupation times of Brownian motion with drift in mathematical finance
- Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
- Stochastic calculus for finance. II: Continuous-time models.
- Corridor options and arc-sine law.
- Some formulae for a new type of path-dependent option
- The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
- A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
- Sample quantiles of stochastic processes with stationary and independent ents
- Russian and American put options under exponential phase-type Lévy models.
- Step Options
- Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
- Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
- THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
- A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
- Two chain-transformations and their applications to quantiles
- The distribution of Brownian quantiles
