Option pricing in some non-Lévy jump models
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Publication:5739799
option pricingfinite difference approximationjump processestime changesubordinate diffusionsmatrix eigendecomposition
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)
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Cited in
(22)- Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
- Closed-form option pricing for exponential Lévy models: a residue approach
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- Time-squeezing and time-expanding transformations in harmonic force fields
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- Early exercise boundary and option prices in Lévy driven models
- Pure jump models for pricing and hedging VIX derivatives
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- Speed and duration of drawdown under general Markov models
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- Equivalent measure changes for subordinate diffusions
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- Parametric inference for discretely observed subordinate diffusions
- Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
- Markov chain approximation of one-dimensional sticky diffusions
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
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