Pricing and hedging of quantile options in a flexible jump diffusion model
DOI10.1239/JAP/1316796904zbMATH Open1230.60088OpenAlexW2167029501MaRDI QIDQ3094682FDOQ3094682
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
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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)
Cites Work
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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
- Title not available (Why is that?)
- Pricing vulnerable lookback options using Laplace transforms
- Pricing turbo warrants under mixed-exponential jump diffusion model
- Parisian options with jumps: a maturity-excursion randomization approach
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
- Title not available (Why is that?)
- 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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