A two-state jump model

DOI10.1088/1469-7688/3/2/308zbMath1405.91577OpenAlexW2102254188MaRDI QIDQ4647253

Claudio Albanese, Sebastian Jaimungal, Dmitri H. Rubisov

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/2/308

zbMATH Keywords

pricing modelequity optionsvariance-gamma jump model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ A two-state jump model ⋮ Valuing Bermudan options when asset returns are Lévy processes

Cites Work

• The Pricing of Options and Corporate Liabilities
• Valuing foreign exchange rate derivatives with a bounded exchange process
• Option pricing in the presence of natural boundaries and a quadratic diffusion term
• Option pricing using variance gamma Markov chains
• THE GARCH OPTION PRICING MODEL
• A two-state jump model
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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