A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
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Publication:625671
DOI10.1007/S11424-010-7205-YzbMATH Open1208.91144OpenAlexW1537105505MaRDI QIDQ625671FDOQ625671
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
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Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Option pricing when underlying stock returns are discontinuous
- Bond Market Structure in the Presence of Marked Point Processes
- Changes of numéraire, changes of probability measure and option pricing
- The surprise element: Jumps in interest rates.
- Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
- Options on the minimum or the maximum of two average prices
- Pricing options on securities with discontinuous returns
- CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
- The European options hedge perfectly in a Poisson-Gaussian stock market model
- A class of jump-diffusion bond pricing models within the HJM framework
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