Exact solutions for bond and option prices with systematic jump risk

DOI10.1007/BF01536393zbMATH Open1274.91448MaRDI QIDQ375236FDOQ375236

Sanjiv R. Das, Silverio Foresi

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

optionsjump-diffusion modelsbonds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• An Intertemporal General Equilibrium Model of Asset Prices
• A yield-factor model of interest rates.
• Technical Note—An Inequality for the Variance of Waiting Time under a General Queuing Discipline
• Money, transactions and portfolio choice

Cited In (28)

• The calibration of volatility for option pricing models with jump diffusion processes
• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• On Markovian short rates in term structure models driven by jump-diffusion processes
• Random step functions model for interest rates
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
• Bond and option pricing for interest rate model with clustering effects
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Testing Distributions of Stochastically Generated Yield Curves
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
• A Markov regime-switching marked point process for short-rate analysis with credit risk
• Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump
• Bayesian estimation of the stochastic volatility model with double exponential jumps
• Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility
• The surprise element: Jumps in interest rates.
• Implicit-explicit numerical schemes for jump-diffusion processes
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• The role of the risk-neutral jump size distribution in single-factor interest rate models
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
• A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
• Numerical valuation of options with jumps in the underlying
• EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
• Discrete-time bond and option pricing for jump-diffusion processes
• Spectral GMM estimation of continuous-time processes
• Real-world jump-diffusion term structure models
• Vasicek model with mixed-exponential jumps and its applications in finance and insurance
• A BSDE approach for bond pricing under interest rate models with self-exciting jumps

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