European option pricing when the riskfree interest rate follows a jump process
From MaRDI portal
Publication:4951471
DOI10.1080/15326340008807580zbMATH Open0960.91031OpenAlexW2031600874MaRDI QIDQ4951471FDOQ4951471
Authors: Allanus H. Tsoi, Hailiang Yang, Shu-Ngai Yeung 
Publication date: 11 May 2001
Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326340008807580
Recommendations
- Pricing European options under jump-diffusion models
- European pricing options under jump-fraction process in the fractional Hull-White interest rate model
- Pricing vulnerable European options under a jump-diffusion model with stochastic rate
- Pricing of bi-direction European options with jump diffusion and stochastic interest rates
- Pricing European options in a bivariate jump-diffusion model
- Pricing of exponential European option under jump-diffusion models
- On pricing European call option on exponential Lévy model with jumps in interest rate
- AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
- European option pricing under stochastic volatility jump-diffusion models with transaction cost
Cited In (8)
- European option pricing under the Student's \(t\) noise with jumps
- Pricing and hedging long-term options
- Asymptotic analysis of option pricing in a Markov modulated market
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
- Pricing of bi-direction European options with jump diffusion and stochastic interest rates
- Title not available (Why is that?)
- Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market
- Risk Minimizing Option Pricing in a Regime Switching Market
This page was built for publication: European option pricing when the riskfree interest rate follows a jump process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4951471)
