Search Results - subject:"Jump–diffusion model"

EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS

D'IPPOLITI, FERNANDA; MORETTO, ENRICO; PASQUALI, SARA; … - In: International Journal of Theoretical and Applied … 13 (2010) 06, pp. 901-929

A stochastic volatility jump-diffusion model for pricing derivatives with jumps in both spot return and volatility …

Persistent link: https://www.econbiz.de/10008506132

On the term structure of futures and forward prices

Björk, Tomas; Landén, Camilla - 2000

We investigate the term structure of forward and futures prices for models where the price processes are allowed to be driven by a general marked point process as well as by a multidimensional Wiener process. Within an infinite dimensional HJM-type model for futures and forwards we study the...

Persistent link: https://www.econbiz.de/10010281306

On the Term Structure of Futures and Forward Prices

Björk, Tomas; Landen, Camilla - Economics Institute for Research (SIR), … - 2000

Persistent link: https://www.econbiz.de/10005190879

Pricing black-scholes options with correlated credit risk and jump risk

Xu, Weidong; Xu, Weijun; Xiao, Weilin - In: Applied economics letters 22 (2015) 1/3, pp. 87-93

Persistent link: https://www.econbiz.de/10010482058

Incorporating discontinuities in value-at-risk via the poisson jump diffusion model and variance gamma model

Lee, Brendan Chee-Seng, Banking & Finance, Australian … - 2007

processwith discrete jumps at random points in time (Poisson Jump Diffusion Model). We also apply a purely discontinuousmodel that … resulting parameters to obtain daily estimates of VaR. In order to obtain the VaRestimates for the Poisson Jump Diffusion Model … calculating VaR, such as that suggested by J.P.Morgan?s RiskMetrics. Our results show that whilst the Poisson Jump Diffusion model …

Persistent link: https://www.econbiz.de/10009484251

Towards a General Theory of Bond Markets.

Björk, Tomas; di Masi, Giovanni; Kabanov, Yuri; … - Economics Institute for Research (SIR), … - 1996

measure is discussed and HJM-type conditions are derived for a jump-diffusion model. The question of market completeness is …

Persistent link: https://www.econbiz.de/10005207189

Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market

Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2013

The mispricing of the deep-in-the money and deep-out-the-money generated by the Black and Scholes model is now well documented in the literature. In this paper, we discuss different option valuation models on the basis of empirical tests carry out on the French option market. We examine methods...

Persistent link: https://www.econbiz.de/10010891140

The role of jump dynamics in the risk–return relationship

Arshanapalli, Bala; Fabozzi, Frank J.; Nelson, William - In: International Review of Financial Analysis 29 (2013) C, pp. 212-218

Surprisingly, a positive risk–return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk–return relationship for U.S....

Persistent link: https://www.econbiz.de/10010741739

Freight options: Price modelling and empirical analysis

Nomikos, Nikos K.; Kyriakou, Ioannis; Papapostolou, Nikos C. - In: Transportation Research Part E: Logistics and … 51 (2013) C, pp. 82-94

computational efficiency of the proposed pricing scheme, we calibrate the jump diffusion model using market quotes of options on the …

Persistent link: https://www.econbiz.de/10010754974

Optimal selling of an asset with jumps under incomplete information

Lu, Bing - In: Applied mathematical finance 20 (2013) 5/6, pp. 599-610

Persistent link: https://www.econbiz.de/10010235555