N-Fold compound option pricing with technical risk under fractional jump-diffusion model

DOI10.1080/02331934.2021.1981898MaRDI QIDQ5882833zbMATH OpenOpenAlexFDO

Authors Pingping Zhao, Kaili Xiang, Pei-Min Chen

Publication date 17 March 2023

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2021.1981898

zbMATH Keywords

fractional Brownian motionjump-diffusion modeltechnical risk\(N\)-fold compound optionphase-specific characteristics

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Calculus of variations and optimal control; optimization (49-XX)

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Cites work

• A generalization of the Geske formula for compound options
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• A jump-diffusion model for option pricing
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
• Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm
• Complex compound option models -- can practitioners truly operationalize them?
• Efficient pricing of Bermudan options using recombining quadratures
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
• Evaluating pharmaceutical R\&D under technical and economic uncertainty
• FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Fractional Brownian Motions, Fractional Noises and Applications
• Long-Term Memory in Stock Market Prices
• Modified Laguerre collocation method for solving 1-dimensional parabolic convection-diffusion problems
• The compound option approach to American options on jump-diffusions
• The generalized sequential compound options pricing and sensitivity analysis
• The influence of a stochastic interest rate on the \(n\)-fold compound option
• The pricing of options and corporate liabilities
• The valuation of European options in uncertain environment
• Valuation of \(N\)-stage investments under jump-diffusion processes

Cited in

(2)

• A pricing method for multi-stage causal compound options following a jump-diffusion process
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework

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