Option pricing under a jump-telegraph diffusion model with jumps of random size

2019 ◽  
Vol 96 (11) ◽  
pp. 2229-2244 ◽  
Author(s):  
J. Janela ◽  
J. Guerra ◽  
G. Silva
Keyword(s):  
Option Pricing ◽  
Diffusion Model ◽  
Random Size

Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions

2017 ◽  
Vol 63 (11) ◽  
pp. 3961-3977 ◽  
Author(s):  
Michael C. Fu ◽  
Bingqing Li ◽  
Guozhen Li ◽  
Rongwen Wu
Keyword(s):  
Option Pricing ◽  
Diffusion Model ◽  
Jump Diffusion ◽  
Size Distributions ◽  
Jump Size ◽  
Jump Diffusion Model

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.

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