Jump-Diffusions and American Option Valuation
The Perpetual American Put Option for Jump-Diffusions
... we mean the conditional expectation operator given that S(0) = x, under the given probability measure P . For this kind of dynamics the financial model is in general not complete, so in our framework the option ...
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American Option Valuation Methods
... for American options valuation is practically impossible or at least ...per option is also reported. The first serial of option parameters in the table is identical to that of Tilley (1993), ...
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American Option Valuation with Particle Filters
... There are several avenues for potential refinements of this work. First, a joint analysis under the statistical and risk–neutral measure, although computationally demanding, would improve parameter estimation. ...
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American GARCH Employee Stock Option Valuation
... The aim of Figure 7 is to compare both approximations, that is, FAS 123 formula (dashed line) and our European GARCH proposal (dotted line) with the correct value C g (solid line) for different vesting periods under ...
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A CLOSED-FORM OPTION VALUATION FORMULA IN MARKOV JUMP DIFFUSION MODELS
... Markov jump diffusion model, that can not only incorporate both the leptokurtic feature and volatility smile, but also present the economic features of volatility clustering and long ...for option and ...
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Malliavin Monte Carlo Greeks for jump diffusions
... call option, but the Malliavin weight approach performs better for the ...call option this effect worsens the ...digital option, the finite difference approximation produces large errors since the ...
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Jump-Diffusion Option Valuation Without a Representative Investor: a Stochastic Dominance Approach
... admissible option prices ...admissible option prices in discrete ...time option bounds as generalizations of the Cox-Ross-Rubinstein (1979) binomial ...For jump-diffusion we show that the ...
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Transform Analysis and Asset Pricing for Affine Jump-Diffusions
... This section applies our basic transform analysis to the pricing of options. In all cases, we assume that the price process S of the asset underlying the option is of the exponential-aff[r] ...
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American Monte Carlo option pricing under pure jump levy models
... report that the pricing of a standard American put is very robust with respect to the choice and number of basis functions. However they show that this is not the case for more complex options. Glasserman [2004, ...
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Valuation of Asian American Option Using a Modified Path Simulation Method
... European option prices as depicted in Figures ...European option prices for several values of volatility and ...European option prices for different values of kurtosis dan skewness are presented, ...
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Stochastic volatility jump-diffusions for European equity index dynamics
... Type (a) alternatives to the Heston model are tested in another strand of literature. Jones (2003) concludes that these alternatives provide more realistic dynamics, although they still fall short of explaining some ...
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A Fourier Transform Analysis of the American Call Option on Assets Driven by Jump-Diffusion Processes
... the American call, relative to the pure-diffusion case with equivalent global ...particular, option holders are less likely to exercise early close to expiry, and more likely to exercise further from expiry ...
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A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
... perpetual American option on an underlying asset whose value can be char- acterized as a stochastic process coincides with the value of an optimal stopping problem for this process (see, for example, ...
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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 jump-diffusion mar- ...
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Mixture dynamics and regime switching diffusions with application to option pricing
... Regime switching process were introduced by Hamilton (1989, 1990) in a financial econometric context. The main idea consists in introducing a discrete and in general unobservable Markov chain which generates switches ...
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Essays on option pricing under alternative one-dimensional diffusions
... existent option pricing liter- ...for option pricing and hedging under the CEV model for a large set of parameter ...Since option valuation under the CEV model is computation- ally expensive, ...
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Flexible Option Valuation Methods
... A third analytical method is the interpolation method introduced by Johnson (1983) and Broadie and Detemple (1996). This method is faster than MacMillan and Barone-Adesi and Whaley’s method. The disadvantage is that this ...
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Option Valuation with Conditional Skewness
... the valuation of out-of-the-money puts, this is not necessarily the case for other ...the valuation of the Inverse Gaussian model improves on that of the Heston-Nandi ...and jump processes are mixed, ...
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Adaptive continuous time Markov chain approximation model to general jump-diffusions
... option prices using the Merton’s closed form formula and the ones given by our methodology for 13 different strikes K ranging from 70 to 130. The results shows that the Markov chain method produces a very good fit ...
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On the Impulse Control of Jump Diffusions
... For the jump diffusion case [4], 2,p Rn regularity for the value function for a jump process the authors establish Wloc with finite variation jumps, i.e., integro-differential operators of[r] ...
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