Pricing and hedging of quantile options in a flexible jump diffusion model

DOI10.1239/JAP/1316796904MaRDI QIDQ3094682zbMATH OpenOpenAlexFDO

Authors Ning Cai

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

zbMATH Keywords

pricingjump processesLaplace transforms

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Laplace transform (44A10) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)

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Cited in

(10)

• The pricing of basket options: a weak convergence approach
• Pricing step options under the CEV and other solvable diffusion models
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• Pricing turbo warrants under mixed-exponential jump diffusion model
• Pricing vulnerable lookback options using Laplace transforms
• Parisian options with jumps: a maturity-excursion randomization approach
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
• scientific article; zbMATH DE number 5284489 (Why is no real title available?)
• Pricing of quanto option under the Hull and White stochastic volatility model
• Option pricing by probability distortion operator based on the quantile function

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