Exact and approximated option pricing in a stochastic volatility jump-diffusion model
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Publication:4593692
zbMATH Open1378.91118MaRDI QIDQ4593692FDOQ4593692
Authors: Fernanda D'Ippoliti, Enrico Moretto, Sara Pasquali, Barbara Trivellato 
Publication date: 22 November 2017
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- scientific article; zbMATH DE number 2147959
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Option Pricing For Jump Diffusions: Approximations and Their Interpretation
- THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS
- Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
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- Stability of an implicit method to evaluate option prices under local volatility with jumps
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
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- Computational Science – ICCS 2005
- Well-posed and ill-posed situations in option pricing problems when the volatility is purely time-dependent
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- A self-exciting threshold jump-diffusion model for option valuation
- Exact pricing with stochastic volatility and jumps
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
- Option pricing based on modified advection-dispersion equation: stochastic representation and applications
- Simulation of jump diffusions and the pricing of options
- Assessing the impact of jumps in an option pricing model: a gradient estimation approach
- Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- A fast numerical method to price American options under the Bates model
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