Option pricing for a double exponential jump diffusion model with regime-switching using FFT

2011 2nd International Conference on Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC) ◽

10.1109/aimsec.2011.6010387 ◽

2011 ◽

Author(s):

Chunfa Wang ◽

Huang Haoran ◽

Song Jing ◽

Zheng Huan

Keyword(s):

Option Pricing ◽

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Model

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A RBF based finite difference method for option pricing under regime-switching jump-diffusion model

International Journal for Computational Methods in Engineering Science and Mechanics ◽

10.1080/15502287.2019.1687607 ◽

2019 ◽

Vol 20 (5) ◽

pp. 451-459

Author(s):

Alpesh Kumar ◽

B. V. Rathish Kumar

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Option Pricing ◽

Diffusion Model ◽

Difference Method ◽

Regime Switching ◽

Jump Diffusion ◽

Jump Diffusion Model

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Option Pricing Under A Double Exponential Jump Diffusion Model

SSRN Electronic Journal ◽

10.2139/ssrn.284202 ◽

2001 ◽

Author(s):

Steven G. Kou ◽

Hui NMI1 Wang

Keyword(s):

Option Pricing ◽

Diffusion Model ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Model

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Option Pricing for Merton Jump Diffusion Model with Regime-Switching Using FFT

2009 International Conference on Management and Service Science ◽

10.1109/icmss.2009.5303110 ◽

2009 ◽

Author(s):

Chunfa Wang ◽

Rongda Chen

Keyword(s):

Option Pricing ◽

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Jump Diffusion Model

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Real options under a double exponential jump-diffusion model with regime switching and partial information

Quantitative Finance ◽

10.1080/14697688.2017.1328560 ◽

2017 ◽

Vol 19 (6) ◽

pp. 1061-1073 ◽

Author(s):

Pengfei Luo ◽

Jie Xiong ◽

Jinqiang Yang ◽

Zhaojun Yang

Keyword(s):

Real Options ◽

Diffusion Model ◽

Regime Switching ◽

Partial Information ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Model

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Wavelet-Galerkin Method for Option Pricing under a Double Exponential Jump-Diffusion Model

2018 5th International Conference on Mathematics and Computers in Sciences and Industry (MCSI) ◽

10.1109/mcsi.2018.00037 ◽

2018 ◽

Author(s):

Dana Cerna

Keyword(s):

Option Pricing ◽

Galerkin Method ◽

Diffusion Model ◽

Jump Diffusion ◽

Wavelet Galerkin Method ◽

Double Exponential ◽

Jump Diffusion Model

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Option Pricing Under a Double Exponential Jump Diffusion Model

Management Science ◽

10.1287/mnsc.1030.0163 ◽

2004 ◽

Vol 50 (9) ◽

pp. 1178-1192 ◽

Author(s):

S. G. Kou ◽

Hui Wang

Keyword(s):

Option Pricing ◽

Diffusion Model ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Model

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Analytical Option Pricing Under a Displaced Double Exponential Jump-Diffusion Model

SSRN Electronic Journal ◽

10.2139/ssrn.2311673 ◽

2013 ◽

Author(s):

Matthias Thul ◽

Ally Quan Zhang

Keyword(s):

Option Pricing ◽

Diffusion Model ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Model

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Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate

Journal of Management Science and Engineering ◽

10.3724/sp.j.1383.204012 ◽

2017 ◽

Vol 2 (4) ◽

pp. 252-289 ◽

Author(s):

Rongda Chen ◽

Zexi Li ◽

Liyuan Zeng ◽

Lean Yu ◽

Qi Lin ◽

...

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Stochastic Volatility ◽

Diffusion Model ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Model

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Compound option pricing under a double exponential Jump-diffusion model

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2017.10.002 ◽

2018 ◽

Vol 43 ◽

pp. 30-53 ◽

Author(s):

Yu-hong Liu ◽

I-Ming Jiang ◽

Wei-tze Hsu

Keyword(s):

Option Pricing ◽

Diffusion Model ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Model

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

The Journal of Risk ◽

10.21314/jor.2007.154 ◽

2007 ◽

Vol 10 (1) ◽

pp. 85-100 ◽

Author(s):

Farid AitSahlia ◽

Andreas Runnemo

Keyword(s):

Diffusion Model ◽

Optimal Stopping ◽

American Options ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Double Exponential ◽

Jump Diffusion Model

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