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

MaRDI QIDQ5257366zbMATH OpenFDO

Authors Ruichen Liu, Guoxiang Liu, Wei Ye

Publication date 29 June 2015

zbMATH Keywords

parameter estimationoption pricingjump-diffusion process

Mathematics Subject Classification ID

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

Recommendations

• Options pricing for several maturities in a jump-diffusion model
• A class of option pricing models based on jump-diffusion processes
• Pricing European options under jump-diffusion models
• Option pricing under jump-diffusion processes with regime switching
• Pricing of exponential European option under jump-diffusion models

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
• scientific article; zbMATH DE number 7155558 (Why is no real title available?)
• 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
• Leader Authenticity in Intercultural School Contexts

This page was built for publication: Parameter estimation of the option pricing formula on a class of jump-diffusion models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5257366)