Exact solutions for bond and option prices with systematic jump risk
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Cites work
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- A yield-factor model of interest rates.
- An Intertemporal General Equilibrium Model of Asset Prices
- Money, transactions and portfolio choice
- Option pricing when underlying stock returns are discontinuous
- Technical Note—An Inequality for the Variance of Waiting Time under a General Queuing Discipline
Cited in
(31)- Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
- An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
- Testing Distributions of Stochastically Generated Yield Curves
- On Markovian short rates in term structure models driven by jump-diffusion processes
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
- Spectral GMM estimation of continuous-time processes
- The surprise element: Jumps in interest rates.
- Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
- Closed-form solutions for pricing credit-risky bonds and bond options
- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
- Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump
- Numerical valuation of options with jumps in the underlying
- The calibration of volatility for option pricing models with jump diffusion processes
- A Markov regime-switching marked point process for short-rate analysis with credit risk
- Random step functions model for interest rates
- The role of the risk-neutral jump size distribution in single-factor interest rate models
- Discrete-time bond and option pricing for jump-diffusion processes
- EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
- A BSDE approach for bond pricing under interest rate models with self-exciting jumps
- Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
- Implicit-explicit numerical schemes for jump-diffusion processes
- Pricing of interest rate derivatives based on affine jump diffusion model
- Bond and option pricing for interest rate model with clustering effects
- Real-world jump-diffusion term structure models
- Vasicek model with mixed-exponential jumps and its applications in finance and insurance
- A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Exact solutions of the transform of term structure of interest rates under Lévy jumps
- Bayesian estimation of the stochastic volatility model with double exponential jumps
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