APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING

Mathematical Finance ◽

10.1111/j.1467-9965.2006.00259.x ◽

2006 ◽

Vol 16 (1) ◽

pp. 21-52 ◽

Author(s):

Jin-Chuan Duan ◽

Peter Ritchken ◽

Zhiqiang Sun

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Option Pricing Under Jump-Diffusion Processes with Regime Switching

Methodology And Computing In Applied Probability ◽

10.1007/s11009-015-9462-7 ◽

2015 ◽

Vol 18 (3) ◽

pp. 829-845 ◽

Author(s):

Nikita Ratanov

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump–diffusion processes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2020.113132 ◽

2021 ◽

Vol 383 ◽

pp. 113132

Author(s):

Z. Ahmadi ◽

S.M. Hosseini ◽

A. Foroush Bastani

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

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A power penalty approach to american option pricing with jump diffusion processes

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2008.4.783 ◽

2008 ◽

Vol 4 (4) ◽

pp. 783-799 ◽

Author(s):

Kai Zhang ◽

◽

Xiaoqi Yang ◽

Kok Lay Teo ◽

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...

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

American Option ◽

American Option Pricing ◽

Power Penalty ◽

Penalty Approach ◽

Jump Diffusion Processes

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The calibration of volatility for option pricing models with jump diffusion processes

Applicable Analysis ◽

10.1080/00036811.2017.1403588 ◽

2017 ◽

Vol 98 (4) ◽

pp. 810-827 ◽

Author(s):

Zuoliang Xu ◽

Xiangyu Jia

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

Pricing Models ◽

Jump Diffusion Processes

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Optimal uniform error estimates for moving least‐squares collocation with application to option pricing under jump‐diffusion processes

Numerical Methods for Partial Differential Equations ◽

10.1002/num.22520 ◽

2020 ◽

Vol 37 (1) ◽

pp. 98-117

Author(s):

Mohammad Shirzadi ◽

Mehdi Dehghan ◽

Ali Foroush Bastani

Keyword(s):

Option Pricing ◽

Least Squares ◽

Error Estimates ◽

Diffusion Processes ◽

Jump Diffusion ◽

Moving Least Squares ◽

Least Squares Collocation ◽

Uniform Error ◽

Jump Diffusion Processes ◽

Uniform Error Estimates

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Option Pricing Under Jump-Diffusion Processes

Dynamic Modeling and Econometrics in Economics and Finance - Derivative Security Pricing ◽

10.1007/978-3-662-45906-5_13 ◽

2015 ◽

pp. 273-293

Author(s):

Carl Chiarella ◽

Xue-Zhong He ◽

Christina Sklibosios Nikitopoulos

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Application of the improved fast Gauss transform to option pricing under jump-diffusion processes

The Journal of Computational Finance ◽

10.21314/jcf.2014.276 ◽

2014 ◽

Vol 18 (2) ◽

pp. 31-55 ◽

Author(s):

Takayuki Sakuma ◽

Yuji Yamada

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Gauss Transform ◽

Fast Gauss Transform

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Discrete-time bond and option pricing for jump-diffusion processes

Review of Derivatives Research ◽

10.1007/bf01531143 ◽

1996 ◽

Vol 1 (3) ◽

pp. 211-243 ◽

Author(s):

Sanjiv Ranjan Das

Keyword(s):

Option Pricing ◽

Discrete Time ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Real Options Under Jump Diffusion Processes: What Types of Jumps?

SSRN Electronic Journal ◽

10.2139/ssrn.1361576 ◽

2009 ◽

Author(s):

Xianfeng Jiang ◽

Yongdong Shi ◽

George J. Jiang

Keyword(s):

Real Options ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2543719 ◽

2014 ◽

Author(s):

Binh Thanh Dao ◽

Monique Jeanblanc ◽

Nadine Bellamy

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

American Put ◽

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