Search Results - subject:"Jump diffusion models"

Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme

Chan, Tat Lung; Hubbert, Simon - In: Review of derivatives research 17 (2014) 2, pp. 161-189

Persistent link: https://www.econbiz.de/10010529637

Diagnosing affine models of options pricing: Evidence from VIX

Li, Gang; Zhang, Chu - In: Journal of Financial Economics 107 (2013) 1, pp. 199-219

Affine jump-diffusion models have been the mainstream in options pricing because of their analytical tractability …. Popular affine jump-diffusion models, however, are still unsatisfactory in describing the options data and the problem is …) implied from options prices, we provide fresh evidence regarding the misspecification of affine jump-diffusion models, as …

Persistent link: https://www.econbiz.de/10011039265

Optimal dividend policies with transaction costs for a class of jump-diffusion processes

Hunting, Martin; Paulsen, Jostein - In: Finance and Stochastics 17 (2013) 1, pp. 73-106

This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. Each...

Persistent link: https://www.econbiz.de/10010997035

Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance

Ewald, Christian-Oliver; Nawar, Roy; Siu, Tak Kuen - In: Energy Economics 36 (2013) C, pp. 97-107

We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded assets exhibit jumps, by trading in the underlying asset. We provide a general expression for the hedging strategy which minimizes the variance of the terminal hedging error, in...

Persistent link: https://www.econbiz.de/10010616853

Pricing discrete path-dependent options under a double exponential jump–diffusion model

Fuh, Cheng-Der; Luo, Sheng-Feng; Yen, Ju-Fang - In: Journal of Banking & Finance 37 (2013) 8, pp. 2702-2713

We provide methodologies to price discretely monitored exotic options when the underlying evolves according to a double exponential jump diffusion process. We show that discrete barrier or lookback options can be approximately priced by their continuous counterparts’ pricing formulae with a...

Persistent link: https://www.econbiz.de/10010679259

VaR-optimal risk management in regime-switching jump-diffusion models

Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109

Persistent link: https://www.econbiz.de/10010240819

Pricing discrete path-dependent options under a double exponential jump-diffusion model

Fuh, Cheng-der; Luo, Sheng-feng; Yen, Ju-fang - In: Journal of banking & finance 37 (2013) 8, pp. 2702-2713

Persistent link: https://www.econbiz.de/10009776395

Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance

Ewald, Christian-Olivier; Nawar, Roy; Siu, Tak Kuen - In: Energy economics 36 (2013), pp. 97-107

Persistent link: https://www.econbiz.de/10009724764

Diagnosing affine models of options pricing : evidence from VIX

Li, Gang; Zhang, Chu - In: Journal of financial economics 107 (2013) 1, pp. 199-219

Persistent link: https://www.econbiz.de/10009715829

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS

RAMPONI, ALESSANDRO - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250037-1

In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes we firstly outline the Fourier transform method both in...

Persistent link: https://www.econbiz.de/10010562369