An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve

DOI10.1155/2016/8029750zbMATH Open1435.91186OpenAlexW2542829955WikidataQ59125221 ScholiaQ59125221MaRDI QIDQ670282FDOQ670282

Tristan Guillaume

Publication date: 18 March 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/8029750

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• An equilibrium characterization of the term structure
• Martingales and arbitrage in multiperiod securities markets
• Option pricing when underlying stock returns are discontinuous
• Martingales and stochastic integrals in the theory of continuous trading
• Interest rate models -- theory and practice. With smile, inflation and credit
• Changes of numéraire, changes of probability measure and option pricing
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (3)

• Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
• An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
• Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?

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