Pricing power options with a generalized jump diffusion
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Publication:4595886
DOI10.1080/03610926.2016.1257138zbMATH Open1379.62060OpenAlexW2553761288MaRDI QIDQ4595886FDOQ4595886
Authors: Juan Liao, Huisheng Shu, Chao Wei 
Publication date: 6 December 2017
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2016.1257138
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (11)
- Pricing and hedging for correlation options with regime switching and common jump risk
- Option pricing under a Markov-modulated Merton jump-diffusion dividend
- Pricing power exchange options with Hawkes jump diffusion processes
- Pricing power options in a jump diffusion model
- Optimal investment and reinsurance problem with jump-diffusion model
- Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises
- Valuation on compound power options under double stochastic volatility jump diffusion model
- Pricing of power exchange option with jumps under the double risk of exchange and default
- Computation of powered option prices under a general model for underlying asset dynamics
- Pricing of power option with underlying assets following jumping diffusion process
- Existence, uniqueness, and almost sure exponential stability of solutions to nonlinear stochastic system with Markovian switching and Lévy noises
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