Option pricing when underlying stock returns are discontinuous
From MaRDI portal
Publication:5452379
Recommendations
Cited in
(only showing first 100 items - show all)- SELF-DECOMPOSABILITY AND OPTION PRICING
- Saddlepoint approximations for continuous-time Markov processes
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
- The risk premium and the Esscher transform in power markets
- Structural credit risk modelling with Hawkes jump diffusion processes
- A discontinuous mispricing model under asymmetric information
- Optimal hedging of American options in discrete time
- A fuzzy approach to option pricing in a Lévy process setting
- MCMC maximum likelihood for latent state models
- Martingales and stochastic integrals in the theory of continuous trading
- Risk neutral jump arrival rates implied in option prices and their models
- Closed-form option pricing for exponential Lévy models: a residue approach
- Option valuation with infinitely divisible distributions
- Multivariate Jacobi process with application to smooth transitions
- First Order Strong Approximations of Jump Diffusions
- Spectral GMM estimation of continuous-time processes
- Tractable stochastic analysis in high dimensions via robust optimization
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- The surprise element: Jumps in interest rates.
- Real options and preemption under incomplete information
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- Itô's stochastic calculus: its surprising power for applications
- Valuation of \(N\)-stage investments under jump-diffusion processes
- Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Test for dispersion constancy in stochastic differential equation models
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
- A jump-diffusion model for option pricing under fuzzy environments
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- The semi-implicit Euler method for stochastic differential delay equation with jumps
- Positive finite difference schemes for a partial integro-differential option pricing model
- SDP relaxation of arbitrage pricing bounds based on option prices and moments
- Empirical Characteristic Function Estimation and Its Applications
- Pricing vulnerable European options under Lévy process with stochastic volatility
- Multilevel path simulation for jump-diffusion SDEs
- Equilibrium approach of asset pricing under Lévy process
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
- BENCHOP -- the benchmarking project in option pricing
- MaxVaR with non-Gaussian distributed returns
- Local \(M\)-estimation for jump-diffusion processes
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- Optimal procurement strategies for online spot markets.
- Post-'87 crash fears in the S\&P 500 futures option market
- The Term Structure of Simple Forward Rates with Jump Risk
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Stochastic Volatility for Lévy Processes
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Second order convex splitting schemes for periodic nonlocal Cahn-Hilliard and Allen-Cahn equations
- Robust portfolio choice and indifference valuation
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- The option value of advanced R\&D
- A new well-posed algorithm to recover implied local volatility
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Efficient solution of a partial integro-differential equation in finance
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints
- An inexact shift-and-invert Arnoldi algorithm for Toeplitz matrix exponential.
- Multidimensional stochastic approximation
- On the functional estimation of jump-diffusion models.
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Pricing Asian options for jump diffusion
- Robust portfolio optimization with derivative insurance guarantees
- Efficiently and easily integrating differential equations with JiTCODE, JiTCDDE, and JiTCSDE
- Lévy processes driven by stochastic volatility
- High-order short-time expansions for ATM option prices of exponential Lévy models
- Empirical option pricing: A retrospection
- Numerical solution of two asset jump diffusion models for option valuation
- Nonparametric inference for discretely sampled Lévy processes
- Exact pricing with stochastic volatility and jumps
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Exact solutions for bond and option prices with systematic jump risk
- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- Optimal stock liquidation in a regime switching model with finite time horizon
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
- Nonparametric spot volatility from options
- Delay geometric Brownian motion in financial option valuation
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
- Option Pricing With V. G. Martingale Components1
- A framework of the harmonic Arnoldi method for evaluating \(\varphi\)-functions with applications to exponential integrators
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Robust option pricing
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics
- Pricing exotic options under regime switching
- Worst-case portfolio optimization with proportional transaction costs
- THE GARCH OPTION PRICING MODEL
- The compound option approach to American options on jump-diffusions
- Markov chain Monte Carlo methods for stochastic volatility models.
- Risk premia in option markets
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
- Z-Transform and preconditioning techniques for option pricing
This page was built for publication: Option pricing when underlying stock returns are discontinuous
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5452379)
