Option pricing when underlying stock returns are discontinuous

DOI10.1016/0304-405X(76)90022-2zbMATH Open1131.91344OpenAlexW2151065060WikidataQ29026334 ScholiaQ29026334MaRDI QIDQ5452379FDOQ5452379

Authors: Robert C. Merton 

Publication date: 3 April 2008

Published in: Journal of Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-405x(76)90022-2

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• A general closed form option pricing formula
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• Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
• Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
• A spectral element framework for option pricing under general exponential Lévy processes
• Exponential time integration for fast finite element solutions of some financial engineering problems
• Efficient funds for meager asset spaces
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• A practical approach to semideviation and its time scaling in a jump-diffusion process
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• A simple model for option pricing with jumping stochastic volatility
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• Approximation of jump diffusions in finance and economics
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• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
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• Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
• Empirical performance of models for barrier option valuation
• Markov-modulated jump-diffusions for currency option pricing
• The valuation of contingent capital with catastrophe risks
• General smile asymptotics with bounded maturity
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• Jump tails, extreme dependencies, and the distribution of stock returns
• An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing
• On Cramér-like asymptotics for risk processes with stochastic return on investments
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• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
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• A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• A hidden Markov-modulated jump diffusion model for European option pricing

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