Empirical Estimation of Market Parameters for Indian Indices Using Jump-Diffusion Models

Journal of Advanced Research in Applied Mathematics ◽

10.5373/jaram.2121.082114 ◽

2015 ◽

Vol 7 (2) ◽

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Empirical Estimation

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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

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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 ◽

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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

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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

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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

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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

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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 ◽

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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 ◽

Author(s):

Kwang Ik Kim ◽

Xiao-song Qian

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Binomial Tree ◽

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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 ◽

Diffusion Models ◽

State Dependent

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Asymptotic Equivalence of Continuously and Discretely Sampled Jump-Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2292486 ◽

2013 ◽

Author(s):

Irene Gaia Becheri ◽

Feike C. Drost ◽

Bas J. M. Werker

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Asymptotic Equivalence

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