Analysis of a jump-diffusion option pricing model with serially correlated jump sizes

DOI10.1080/03610926.2017.1315731MaRDI QIDQ4634810zbMATH OpenOpenAlexFDO

Authors Xenos Chang-Shuo Lin, Daniel Wei-Chung Miao, Wan-Ling Chao

Publication date 11 April 2018

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2017.1315731

zbMATH Keywords

option pricingautoregressive processjump-diffusion modelserially correlated jump sizes

Mathematics Subject Classification ID

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

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Cites work

• A jump-diffusion model for option pricing
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous
• Stochastic calculus for finance. II: Continuous-time models.
• The surprise element: Jumps in interest rates.

Cited in

(1)

• Option pricing under jump-diffusion models with mean-reverting bivariate jumps

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