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Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method
Computational Economics
◽
10.1007/s10614-020-10055-9
◽
2020
◽
Author(s):
Jin-Yu Zhang
◽
Wen-Bo Wu
◽
Yong Li
◽
Zhu-Sheng Lou
Keyword(s):
Jump Diffusion
◽
Diffusion Models
◽
Quadrature Method
◽
Exotic Option
Download Full-text
Related Documents
Cited By
References
Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility
SSRN Electronic Journal
◽
10.2139/ssrn.1107646
◽
2008
◽
Author(s):
Svetlana I. Boyarchenko
◽
Sergei Z. Levendorskii
Keyword(s):
Stochastic Volatility
◽
American Options
◽
Jump Diffusion
◽
Diffusion Models
◽
Explicit Method
Download Full-text
Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for
SSRN Electronic Journal
◽
10.2139/ssrn.2022909
◽
2012
◽
Author(s):
Paulo Rodrigues
◽
Norman Seeger
◽
Roman Frey
Keyword(s):
Financial Crisis
◽
Jump Diffusion
◽
Diffusion Models
◽
Out Of Sample
◽
Good For
◽
Equity Indices
Download Full-text
Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models
SSRN Electronic Journal
◽
10.2139/ssrn.2571507
◽
2015
◽
Author(s):
Duy-Minh Dang
◽
Duy Nguyen
◽
Granville Sewell
Keyword(s):
Regime Switching
◽
Jump Diffusion
◽
Diffusion Models
◽
Asian Options
◽
Numerical Schemes
◽
State Dependent
Download Full-text
Computation of the unknown volatility from integral option price observations in jump–diffusion models
Mathematics and Computers in Simulation
◽
10.1016/j.matcom.2021.05.008
◽
2021
◽
Author(s):
Slavi G. Georgiev
◽
Lubin G. Vulkov
Keyword(s):
Option Price
◽
Jump Diffusion
◽
Diffusion Models
Download Full-text
Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
Communication in Statistics- Theory and Methods
◽
10.1080/03610926.2021.1872641
◽
2021
◽
pp. 1-35
Author(s):
Naiqi Liu
◽
Kunyang Song
◽
Yuping Song
◽
Xiaochen Wang
Keyword(s):
Kernel Estimation
◽
Jump Diffusion
◽
Diffusion Models
◽
Smoothed Kernel
Download Full-text
A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
Communications in Nonlinear Science and Numerical Simulation
◽
10.1016/j.cnsns.2019.105159
◽
2020
◽
Vol 84
◽
pp. 105159
Author(s):
Claude Rodrigue Bambe Moutsinga
◽
Edson Pindza
◽
Eben Maré
Keyword(s):
Stochastic Volatility
◽
Spectral Method
◽
Jump Diffusion
◽
Diffusion Models
Download Full-text
A comparative analysis of housing prices in different cities using the Black–Scholes and Jump Diffusion models
Finance Research Letters
◽
10.1016/j.frl.2021.102241
◽
2021
◽
pp. 102241
Author(s):
Sebeom Oh
◽
Hyejin Ku
◽
Doobae Jun
Keyword(s):
Comparative Analysis
◽
Housing Prices
◽
Jump Diffusion
◽
Diffusion Models
◽
Black Scholes
Download Full-text
Convergence of the binomial tree method for Asian options in jump-diffusion models
Journal of Mathematical Analysis and Applications
◽
10.1016/j.jmaa.2006.07.042
◽
2007
◽
Vol 330
(1)
◽
pp. 10-23
◽
Cited By ~ 4
Author(s):
Kwang Ik Kim
◽
Xiao-song Qian
Keyword(s):
Jump Diffusion
◽
Diffusion Models
◽
Asian Options
◽
Binomial Tree
◽
Tree Method
Download Full-text
Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process
SSRN Electronic Journal
◽
10.2139/ssrn.2968823
◽
2015
◽
Cited By ~ 1
Author(s):
Pei-Shih Weng
◽
Wei-Che Tsai
Keyword(s):
Diffusion Process
◽
Gaussian Quadrature
◽
Jump Diffusion
◽
Exotic Options
◽
Quadrature Method
◽
Jump Diffusion Process
Download Full-text
Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity
Stochastic Processes and their Applications
◽
10.1016/j.spa.2018.02.001
◽
2018
◽
Vol 128
(12)
◽
pp. 4207-4245
Author(s):
José E. Figueroa-López
◽
Yankeng Luo
Keyword(s):
Jump Diffusion
◽
Small Time
◽
Diffusion Models
◽
State Dependent
Download Full-text
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