Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models

DOI10.1142/S0219024911006644zbMATH Open1229.91304OpenAlexW2158840866MaRDI QIDQ3107935FDOQ3107935

Authors: Bjorn Eriksson, Martijn R. Pistorius 

Publication date: 28 December 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006644

Recommendations

• Pricing double barrier options
• Double barrier options in regime-switching hyper-exponential jump-diffusion models
• Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM

zbMATH Keywords

momentslinear programmingpartial barrier optiondouble barrier optionAmerican corridor optionpolynomial jump-diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

Cites Work

• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• Title not available (Why is that?)
• A multi-factor jump-diffusion model for commodities†
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
• Calibration and hedging under jump diffusion
• Pricing and hedging guaranteed annuity options via static option replication.
• Towards logical operations research -- propositional case

Cited In (5)

• The Jacobi stochastic volatility model
• Bounding stationary averages of polynomial diffusions via semidefinite programming
• Pricing variance swaps under subordinated Jacobi stochastic volatility models
• Moment and polynomial bounds for ruin-related quantities in risk theory
• Jacobi stochastic volatility factor for the LIBOR market model

This page was built for publication: Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3107935)