Equilibrium asset and option pricing under jump diffusion
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Publication:4906526
DOI10.1111/J.1467-9965.2010.00468.XzbMATH Open1278.91069OpenAlexW2145008783MaRDI QIDQ4906526FDOQ4906526
Authors: Jin E. Zhang, Huimin Zhao, Eric C. Chang 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/138310
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Cites Work
- The pricing of options and corporate liabilities
- A jump-diffusion model for option pricing
- Stochastic Volatility for Lévy Processes
- Hyperbolic distributions in finance
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Title not available (Why is that?)
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- The cumulant process and Esscher's change of measure
- Asset Prices in an Exchange Economy
- Option Pricing With V. G. Martingale Components1
- An Intertemporal General Equilibrium Model of Asset Prices
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- The market for crash risk
- The implied volatility smirk
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of volatility spreads
Cited In (24)
- Multifrequency jump-diffusions: An equilibrium approach
- Equilibrium variance risk premium in a cost-free production economy
- Equilibrium approach of asset pricing under Lévy process
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
- Risk premia in option markets
- The valuation and information content of options on crude-oil futures contracts
- Bond and option pricing for interest rate model with clustering effects
- Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
- Asset pricing under information with stochastic volatility
- Exchange Options Under Jump-Diffusion Dynamics
- Dynamic optimal hedge ratio design when price and production are stochastic with jump
- Jump-diffusion long-run risks models, variance risk premium, and volatility dynamics
- A dynamic equilibrium model for U-shaped pricing kernels
- Optimal portfolio selection of mean-variance utility with stochastic interest rate
- Hedging jump risk, expected returns and risk premia in jump-diffusion economies
- An equilibrium approach of asset pricing under stochastic volatility jump-diffusion process with ``correlated jump
- Dark Matter in (Volatility and) Equity Option Risk Premiums
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Risk-adjusted option-implied moments
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- Smooth ambiguity preferences and asset prices with a jump-diffusion process
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