A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework

DOI10.1007/S11424-010-7205-YMaRDI QIDQ625671zbMATH OpenOpenAlexFDO

Authors Guohe Deng, Lihong Huang

Publication date 25 February 2011

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-010-7205-y

zbMATH Keywords

jump-diffusion modelstochastic interest rateextremum options

Mathematics Subject Classification ID

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

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Cites work

• A class of jump-diffusion bond pricing models within the HJM framework
• Bond Market Structure in the Presence of Marked Point Processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Changes of numéraire, changes of probability measure and option pricing
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• Option pricing when underlying stock returns are discontinuous
• Options on the minimum or the maximum of two average prices
• Pricing options on securities with discontinuous returns
• The European options hedge perfectly in a Poisson-Gaussian stock market model
• The surprise element: Jumps in interest rates.

Cited in

(1)

• The European options hedge perfectly in a Poisson-Gaussian stock market model

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