Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options

SSRN Electronic Journal ◽

10.2139/ssrn.567021 ◽

2004 ◽

Author(s):

Dimitris Flamouris ◽

Daniel Giamouridis

Keyword(s):

Jump Diffusions ◽

Download Full-text

Optimisation of a Fund of Hedge Funds Portfolio Using Price Maximisation of Basket Options

SSRN Electronic Journal ◽

10.2139/ssrn.1082692 ◽

2008 ◽

Author(s):

Abhimanyu Chatterjee

Keyword(s):

Hedge Funds ◽

Download Full-text

Asset Pricing with Matrix Jump Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.1274482 ◽

2008 ◽

Author(s):

Markus Leippold ◽

Fabio Trojani

Keyword(s):

Asset Pricing ◽

Jump Diffusions

Download Full-text

Lower and Upper Bounds in the Monte-Carlo Simulation of Bermudan Basket Options

SSRN Electronic Journal ◽

10.2139/ssrn.2262259 ◽

2013 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Upper Bounds ◽

Lower And Upper Bounds ◽

Download Full-text

Basket Options for Implied Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2803023 ◽

2011 ◽

Author(s):

Silke Prohl

Keyword(s):

Implied Volatility ◽

Basket Options ◽

Volatility Models

Download Full-text

Efficient Parameter Estimation for Multivariate Jump-Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.2926508 ◽

2016 ◽

Author(s):

Francois Guay ◽

Gustavo Schwenkler

Keyword(s):

Parameter Estimation ◽

Jump Diffusions

Download Full-text

Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3575594 ◽

2020 ◽

Author(s):

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Regime Switching ◽

Asian Option ◽

Stochastic Volatility Models ◽

Jump Diffusions ◽

Volatility Models

Download Full-text

Closed-Form Optimal Investment when Present Values and Costs are Jump-Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.968172 ◽

2006 ◽

Author(s):

Alessandro Sbuelz ◽

Anna Battauz

Keyword(s):

Closed Form ◽

Optimal Investment ◽

Jump Diffusions

Download Full-text

Feynman–Kac for functional jump diffusions with an application to Credit Value Adjustment

Statistics & Probability Letters ◽

10.1016/j.spl.2015.06.007 ◽

2015 ◽

Vol 105 ◽

pp. 120-129 ◽

Author(s):

E. Kromer ◽

L. Overbeck ◽

J.A.L. Röder

Keyword(s):

Jump Diffusions

Download Full-text

Stochastic Near-Optimal Singular Controls for Jump Diffusions: Necessary and Sufficient Conditions

Journal of Dynamical and Control Systems ◽

10.1007/s10883-013-9191-6 ◽

2013 ◽

Vol 19 (4) ◽

pp. 503-517 ◽

Author(s):

Mokhtar Hafayed ◽

Syed Abbas

Keyword(s):

Sufficient Conditions ◽

Necessary And Sufficient Conditions ◽

Jump Diffusions ◽

Singular Controls ◽

Necessary And Sufficient

Download Full-text

Pricing of basket options using univariate normal inverse Gaussian approximations

Journal of Forecasting ◽

10.1002/for.1179 ◽

2010 ◽

Vol 30 (3) ◽

pp. 355-376 ◽

Author(s):

Fred Espen Benth ◽

Pål Nicolai Henriksen

Keyword(s):

Inverse Gaussian ◽

Basket Options ◽

Normal Inverse Gaussian

Download Full-text