Pricing double-barrier options under a flexible jump diffusion model

DOI10.1016/J.ORL.2009.02.006zbMATH Open1187.91208OpenAlexW1973658242MaRDI QIDQ833566FDOQ833566

Xiangwei Wan, Nan Chen, Ning Cai

Publication date: 14 August 2009

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2009.02.006

Recommendations

• Double-barrier option pricing under the hyper-exponential jump diffusion model
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• Double barrier options in regime-switching hyper-exponential jump-diffusion models
• Path-dependent option pricing under a two-sided jump-diffusion model
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH

zbMATH Keywords

first passage timesjump diffusionEuler inversion algorithmdouble-barrier optionshyper-exponential distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Laplace transform (44A10)

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Title not available (Why is that?)
• Pricing Asian options under a hyper-exponential jump diffusion model
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• The Fourier-series method for inverting transforms of probability distributions
• First passage times of a jump diffusion process
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• Pricing Options With Curved Boundaries¹
• Pricing double barrier options using Laplace transforms
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• On the controversy over tailweight of distributions.

Cited In (36)

• AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models
• Continuity correction: on the pricing of discrete double barrier options
• Bessel processes, stochastic volatility, and timer options
• On the First Passage Time Under Regime-Switching with Jumps
• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
• Title not available (Why is that?)
• Analytic techniques for option pricing under a hyperexponential Lévy model
• On a dual model with barrier strategy
• Valuing equity-linked death benefits with a threshold expense strategy
• Pricing discretely-monitored double barrier options with small probabilities of execution
• First passage probabilities of one-dimensional diffusion processes
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Pricing double barrier options under a volatility regime-switching model with psychological barriers
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
• A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• Precautionary measures for credit risk management in jump models
• An Improved Test for Continuous Local Martingales
• Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
• Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
• Occupation times of refracted double exponential jump diffusion processes
• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
• European option pricing under the log mean-reverting jump diffusion stochastic volatility model
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Design of green bonds by double-barrier options
• Parisian options with jumps: a maturity–excursion randomization approach
• American step options
• The distribution of refracted Lévy processes with jumps having rational Laplace transforms
• Valuing equity-linked annuities under high-water mark fee structure
• The time of deducting fees for variable annuities under the state-dependent fee structure

This page was built for publication: Pricing double-barrier options under a flexible jump diffusion model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q833566)