Parameter estimation of the option pricing formula on a class of jump-diffusion models

zbMATH Open1324.91059MaRDI QIDQ5257366FDOQ5257366

Authors: Ruichen Liu, Guoxiang Liu, Wei Ye 

Publication date: 29 June 2015

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zbMATH Keywords

parameter estimationoption pricingjump-diffusion process

Mathematics Subject Classification ID

Point estimation (62F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (8)

• Parameters estimation using the first passage times method in a jump-diffusion model
• The parameter estimation of asymmetric jump diffusion model for optional pricing
• Title not available (Why is that?)
• Options pricing for several maturities in a jump-diffusion model
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Abelian theorem for stochastic volatility models and semiparametric estimation of the signal space.
• Assessing the impact of jumps in an option pricing model: a gradient estimation approach
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