Discrete-time bond and option pricing for jump-diffusion processes
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Publication:375257
DOI10.1007/BF01531143zbMATH Open1274.91479OpenAlexW3126098922MaRDI QIDQ375257FDOQ375257
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531143
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
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- Exact solutions for bond and option prices with systematic jump risk
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- Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
- Approximations for functionals and optimal control problems on jump diffusion processes
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- Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
Cited In (7)
- Pricing American put option on zero-coupon bond in a jump-extended CIR model
- On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
- A regime-switching model with jumps and its application to bond pricing and insurance
- Bond and option pricing for interest rate model with clustering effects
- A Markov regime-switching marked point process for short-rate analysis with credit risk
- Title not available (Why is that?)
- Pricing options on securities with discontinuous returns
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