Option Pricing When Jump Risk Is Systematic1

DOI10.1111/J.1467-9965.1992.TB00034.XMaRDI QIDQ4345937zbMATH OpenOpenAlexFDO

Authors Chang Mo Ahn

Publication date 31 August 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1992.tb00034.x

zbMATH Keywords

Merton jump-diffusion option pricing model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A stochastic calculus model of continuous trading: Complete markets
• A theory of the term structure of interest rates
• An Intertemporal General Equilibrium Model of Asset Prices
• Asset pricing for general processes
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• Option pricing when underlying stock returns are discontinuous
• The pricing of options and corporate liabilities

Cited in

(17)

• Heterogeneous information arrival and option pricing
• Factor models for option pricing
• Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
• scientific article; zbMATH DE number 1594549 (Why is no real title available?)
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• An equilibrium approach of asset pricing under stochastic volatility jump-diffusion process with ``correlated jump
• Pricing jump risk with utility indifference
• The Risk and Price Volatility of Stock Options in General Equilibrium
• Pricing power options with a generalized jump diffusion
• Option pricing under the market with jump -- based on prospect theory
• Hedging jump risk, expected returns and risk premia in jump-diffusion economies
• Equilibrium asset and option pricing under jump diffusion
• Option pricing in affine generalized Merton models
• Modeling and Computation of CO₂Allowance Derivatives Under Jump-Diffusion Processes
• Approximate hedging of options under jump-diffusion processes
• Option pricing when underlying stock returns are discontinuous
• Dynamic asset pricing theory with uncertain time-horizon

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