Jump-diffusion Models
Range-Based Threshold Spot Volatility Estimation for Jump Diffusion Models
... Threshold method (or truncation-based method) for an- alyzing jump diffusion models was originally proposed in [17], it is a simple yet powerful methodology to identify jump. When the squared ...
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Adaptive Radial Basis Function Methods for Pricing Options Under Jump Diffusion Models
... in jump- diffusion models can be computed using meshless methods based on Radial Basis Function (RBF) interpolation instead of traditional mesh- based methods like Finite Differences (FDM) or Finite ...
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Realized Range-based Threshold Estimation for Jump-diffusion Models
... In this paper, we consider an integrated volatility estima- tion procedure for jump-diffusion models. We are inspired by the precision of the range-based technique and the efficiency of the threshold ...
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Pricing Study on Two Kinds of Power Options in Jump Diffusion Models with Fractional Brownian Motion and Stochastic Rate
... In this paper, we investigate the issue of pricing the reset option in FBM model, closed-form formulas for the reset option with an single reset date, and the phenomena of delta of the reset jumps existing in the reset ...
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Pricing Options in Jump Diffusion Models Using Mellin Transforms
... The application of Mellin transforms for the purpose of option pricing was firstly introduced in [16] in the geometric Brownian motion economy. It was extended to the stochastic volatility model of Heston by Frontczak ...
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Essays on multi asset jump diffusion models : estimation, asset allocation and American option pricing
... multi-dimensional jump- diffusion models designed to capture these empirical features and capture the financial contagion ...a jump- diffusion market with less ...one-dimensional ...
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Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market
... of models in terms of their fit to spot and forward prices in Nordpool, and find that the spike model of equation (1) provides superior fit compared to ordinary mean reversion and jump diffusion ...
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A combined compact difference scheme for option pricing in the exponential jump diffusion models
... exponential jump- diffusion ...the jump-diffusion ...exponential jump-diffusion models and option pricing problems for European and American ...
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Semi analytical solutions for dynamic portfolio choice in jump diffusion models and the optimal bond stock mix
... usion models in Brennan and Xia (2000), Ba jeux-Besnainou and Port ait (2001) and Lioui (2007), t here is no clear-cut answer t o t he bond/ st ock rat io puzzle in jump-di ff usion models even despit ...
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VaR Optimal Risk Management in Regime Switching Jump Diffusion Models
... regime-switching models to capture some peculiarities in the observed data, as firstly high- lighted in the seminal paper by Hamilton ...switching models to a wide class of financial and/or economic ...
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Exact Simulation of Jump Diffusion Processes with Monte Carlo Applications
... for jump-diffusion models in structural credit risk modeling (6, ...text jump diffusions are able to support the empirical evidence that ...
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On the calculation of price sensitivities with jump diffusion structure
... We provide an alternative approach for estimating the price sensitivities of a trading position with regard to underlying factors in jump-diffusion models using jump times Poisson noise. The ...
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A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes
... arbitrary jump size and derived analytical formulae for an equity premium for the power, exponential, square root and quadratic utility ...the jump size being ...of Jump Amplitudes. Jump ...
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Optimal Portfolio Choice in a Jump Diffusion Model with Self Exciting
... Empirical studies suggest that asset price encounters jumps and its volatility is stochastic. Further studies show that jumps occur in clusters, that is, a sequence of jumps occur in short time following a (big) ...
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Jump Diffusion Calibration using Differential Evolution
... Jump-diffusion models are continuous-time stochastic processes introduced in quantitative fi- nance by Merton (1976), extending the work on option pricing by Black and Scholes ...These models ...
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Analogy Making and the Structure of Implied Volatility Skew
... volatility models 2) Stochastic volatility models without jumps and stochastic volatility models with ...tree models of Dupire (1994), Derman and Kani (1994), and Rubinstein ...volatility ...
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Derivatives pricing in a Markov chain jump diffusion setting
... many models which can be used to describe the behaviour of the short ...these models may allow an exact fit to the initial term structure or possess more preferable term structures than ...rate ...
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Duopolistic Competition and Capacity Choice with Jump Diffusion Process
... a standard Brownian motion. We assume ρ µ > to ensure that the option is exercised within a finite period of time. We assume random sudden events follow the Poisson jump process of intensity λ . This means ...
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Stochastic Volatility Jump Diffusion Model for Option Pricing
... An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with square root stochastic volatility. The stochastic volatility follows the ...
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On Optimal Sparse Control Problems Governed by Jump Diffusion Processes
... Keywords Jump-Diffusion Processes, Partial Integro-Differential Fokker-Planck Equation, Optimal Control Theory, Nonsmooth Optimization, Proximal Methods.. Introduction Recently, largely [r] ...
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