A class of option pricing models based on jump-diffusion processes

zbMATH Open1289.91183MaRDI QIDQ5398705FDOQ5398705

Authors: Yuan Yuan, Chengbin Zhang, Huilai Li 

Publication date: 28 February 2014

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zbMATH Keywords

option pricingBrownian motionPoisson processvolatilityjump-diffusion process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60)

Cited In (24)

• Title not available (Why is that?)
• APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL
• Impulsive jump-diffusion models for pricing securities
• Option pricing under jump diffusion model
• Option pricing and hedge portfolios for poisson progresses
• Average options for jump diffusion models
• Polynomial jump-diffusion models
• Cliquet option pricing in a jump-diffusion Lévy model
• Pricing of options based on a jump-diffusion stochastic process
• Option valuation for the double-factor-cross-feedback infinite activity jump-diffusion model
• Coupling and option price comparisons in a jump-diffusion model
• Option pricing with discrete time jump processes
• Pricing European options under jump-diffusion models
• Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
• Construction of the Black-Scholes PDE with jump-diffusion model
• A self-exciting threshold jump-diffusion model for option valuation
• Option pricing under the market with jump -- based on prospect theory
• Analysis of a class of price process models with jump
• Title not available (Why is that?)
• Parameter estimation of the option pricing formula on a class of jump-diffusion models
• Option pricing in mathematical financial market with jumps and related problems.
• A jump-diffusion model for option pricing
• Title not available (Why is that?)
• Title not available (Why is that?)

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