Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach

2021 ◽  
Author(s):  
Pakorn Aschakulporn ◽  
Jin E. Zhang
Keyword(s):  
Jump Diffusion ◽  
Moment Estimators ◽  
Risk Neutral

FX risk-neutral valuation relationships for the SU jump-diffusion family

2010 ◽  
Vol 16 (4) ◽  
pp. 339-356 ◽  
Author(s):  
Ana Câmara ◽  
António Câmara ◽  
Ivilina Popova ◽  
Betty Jo Simkins
Keyword(s):  
Jump Diffusion ◽  
Risk Neutral

scholarly journals Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility

2013 ◽  
Vol 2013 ◽  
pp. 1-13 ◽  
Author(s):  
Xinfeng Ruan ◽  
Wenli Zhu ◽  
Shuang Li ◽  
Jiexiang Huang
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Diffusion Model ◽  
Jump Diffusion ◽  
Transformation Method ◽  
Exact Expression ◽  
Risk Neutral ◽  
Jump Diffusion Model ◽  
Fourier Transformation Method ◽  
Relationship Of

We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.

Pricing of Some Exotic Options under Jump Diffusion and Stochastic Interest Rates Model

2011 ◽  
Vol 109 ◽  
pp. 405-409
Author(s):  
Bo Peng
Keyword(s):  
Interest Rates ◽  
Poisson Process ◽  
Stock Price ◽  
Jump Process ◽  
Jump Diffusion ◽  
Martingale Method ◽  
Exotic Options ◽  
Stochastic Interest Rates ◽  
Stochastic Interest ◽  
Risk Neutral

This paper assumes that jump process in underlying assets-stock price is more common than Poisson process and derive the pricing formulas of some exotic options under the stochastic interest rates by martingale method with the risk-neutral hypothesis.

scholarly journals APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES

2015 ◽  
Vol 18 (04) ◽  
pp. 1550024 ◽  
Author(s):  
KARL FRIEDRICH MINA ◽  
GERALD H. L. CHEANG ◽  
CARL CHIARELLA
Keyword(s):  
Diffusion Processes ◽  
Option Price ◽  
Jump Diffusion ◽  
Option Prices ◽  
Jump Diffusion Processes ◽  
Complete Market ◽  
Diffusion Dynamics ◽  
Risk Neutral ◽  
Delta Hedging ◽  
Risk Neutral Measures

We consider the problem of hedging a European-type option in a market where asset prices have jump-diffusion dynamics. It is known that markets with jumps are incomplete and that there are several risk-neutral measures one can use to price and hedge options. In order to address these issues, we approximate such a market by discretizing the jumps in an averaged sense, and complete it by including traded options in the model and hedge portfolio. Under suitable conditions, we get a unique risk-neutral measure, which is used to determine the option price integro-partial differential equation, along with the asset positions that will replicate the option payoff. Upon implementation on a particular set of stock and option prices, our approximate complete market hedge yields easily computable asset positions that equal those of the minimal variance hedge, while at the same time offers protection against upward jumps and higher profit compared to delta hedging.

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