Search Results - subject:"Jump Diffusion"

Pricing Asian options with stochastic convenience yield and jumps

Ewald, Christian; Wu, Yuexiang; Zhang, Aihua - In: Quantitative finance 23 (2023) 4, pp. 677-692

Persistent link: https://www.econbiz.de/10014304306

Tail risk management and the skewness premium

Kipp, Martin; Koziol, Christian - In: Journal of Asset Management 23 (2022) 6, pp. 534-546

In this paper, we analyze how tail risk impacts both asset prices and the optimal asset allocation. For this purpose, we consider an equilibrium model with investors exhibiting an empirically well-justifiable decreasing relative risk aversion (DRRA) and different investment horizons. In contrast...

Persistent link: https://www.econbiz.de/10015210347

A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013470682

Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation

Boswijk, H. Peter; Laeven, Roger J. A.; Vladimirov, Evgenii - 2022

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied...

Persistent link: https://www.econbiz.de/10014321750

Time-discrete hedging of down-and-out puts with overnight trading gaps

Baule, Rainer; Rosenthal, Philip - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-20

Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the underlying is already close to the barrier and the...

Persistent link: https://www.econbiz.de/10013201333

An exchange rate model where the fundamentals follow a jump-diffusion process

Cupidon, Jean René; Hyppolite, Judex - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-23

This paper presents some models of exchange rate with jumps, namely jump diffusion exchange rate models. Jump diffusion … modeling in general. However, even the simplest jump diffusion model introduces some analytical difficulty in terms of finding … to the models and also investigate the model's predictions of the exchange rate. We introduce two jump diffusion models …

Persistent link: https://www.econbiz.de/10015074332