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Author : B. Jensen
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (247 download)
Download or read book Option Pricing in the Jump-diffusion Model with a Random Junp Amplitude written by B. Jensen and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : B. Jensen
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (468 download)
Download or read book Option Pricing in the Jump-diffusion Model with a Random Jump Amplitude written by B. Jensen and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Floyd B. Hanson
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (131 download)
Download or read book Risk-Neutral Option Pricing for Log-Uniform Jump-Amplitude Jump-Diffusion Model written by Floyd B. Hanson and published by . This book was released on 2013 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reduced European call and put option formulas by risk-neutral valuation are given. It is shown that the European call and put options for log-uniform jump-diffusion models are worth more than that for the Black-Scholes (diffusion) model with the common parameters. Due to the complexity of the jump-diffusion models, obtaining a closed option pricing formula like that of Black-Scholes is not tractable. Instead, a Monte Carlo algorithm is used to compute European option prices. Monte Carlo variance reduction techniques such as both antithetic and optimal control variates are used to accelerate the calculations by allowing smaller sample sizes. The numerical results show that this is a practical, efficient and easily implementable algorithm.
Author : Kaushik I. Amin
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.3/5 ( download)
Download or read book A Discrete Model for Evaluating Option Values with Jump Diffusion Processes written by Kaushik I. Amin and published by . This book was released on 1991 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Author : Guoqing Yan
Publisher :
ISBN 13 : 9781109872637
Total Pages : 114 pages
Book Rating : 4.8/5 (726 download)
Download or read book Option Pricing for a Stochastic-volatility Jump-diffusion Model written by Guoqing Yan and published by . This book was released on 2006 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the accurate and fast European option pricing formulas, we calibrate the models to S&P 500 Index option quotes by least squares method. Spot variance and structural parameters for different models including Black-Scholes, Stochastic-Volatility. SVJD-Uniform, SVJD-Normal, SVJD-DbExp are estimated. Fitting performance of different models are compared and our proposed SVJD-Uniform model is found to fit the market data the best.
Author :
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (938 download)
Download or read book Option Pricing on Jump-diffusion Models written by and published by . This book was released on 2009 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeremy Berros
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783843356930
Total Pages : 60 pages
Book Rating : 4.3/5 (569 download)
Download or read book American Option Pricing in a Jump-Diffusion Model written by Jeremy Berros and published by LAP Lambert Academic Publishing. This book was released on 2010-09 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many alternative models have been developed lately to generalize the Black-Scholes option pricing model in order to incorporate more empirical features. Brownian motion and normal distribution have been used in this Black-Scholes option-pricing framework to model the return of assets. However, two main points emerge from empirical investigations: (i) the leptokurtic feature that describes the return distribution of assets as having a higher peak and two asymmetric heavier tails than those of the normal distribution, and (ii) an empirical phenomenon called "volatility smile" in option markets. Among the recent models that addressed the aforementioned issues is that of Kou (2002), which allows the price of the underlying asset to move according to both Brownian increments and double-exponential jumps. The aim of this thesis is to develop an analytic pricing expression for American options in this model that enables us to e±ciently determine both the price and related hedging parameters.
Author : Thomas Lonon
Publisher :
ISBN 13 :
Total Pages : 212 pages
Book Rating : 4.:/5 (914 download)
Download or read book Option Pricing Utilizing a Jump Diffusion Model with a Log Mixture Normal Jump Distribution written by Thomas Lonon and published by . This book was released on 2013 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zongwu Zhu
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.:/5 (651 download)
Download or read book Option Pricing and Jump-diffusion Models written by Zongwu Zhu and published by . This book was released on 2005 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steven Kou
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Jump Diffusion Model for Option Pricing written by Steven Kou and published by . This book was released on 2001 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract_Content: Brownian motion and normal distribution have been widely used in the Black-Scholes option pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical abnormity called quot;volatility smile'' in option pricing. To incorporate both of them, this paper proposes, for the purpose of option pricing, a double exponential jump diffusion model. The main attraction of the model is its simplicity. In particular, it is simple enough to derive analytical solutions for a variety of option pricing problems, including call and put options, interest rate derivatives and path-dependent options; it seems impossible for many other alternative models to do this. Equilibrium analysis and a psychological interpretation of the model are also presented.
Author : Floyd B. Hanson
Publisher : SIAM
ISBN 13 : 9780898718638
Total Pages : 472 pages
Book Rating : 4.7/5 (186 download)
Download or read book Applied Stochastic Processes and Control for Jump-Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-01-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.
Author : Bernhard Nietert
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Jump/Diffusion Option Pricing -A Reexamination from an Economic Viewpoint written by Bernhard Nietert and published by . This book was released on 1997 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Options will usually elude arbitrage-oriented pricing if the underlying stock follows a jump/ diffusion process - one has to rely on equilibrium-based pricing approaches. However, all ex-isting pricing models under jumps have one in common weakness: they pay too less attention to the economic modeling of jumps, because they chiefly argue with constant, at best deter-ministicly changing jump probabilities. Hence, they imply a predictable pattern of jumps' oc-currences, which is not able to adequately depict the arrival of extraordinary and partly surpris-ing information jumps are intended to capture.Therefore, we need an economically more precise characterization of the jump phenomenon. To that end, we firstly distinguish between firm-specific and market jumps (scope of jumps) as well as between crashes and explosions (direction of jumps). Secondly, we use stochastic jump probabilities and density functions of jump amplitudes to take into account the uncertain arri-val of extraordinary information. Based on this - compared to literature - significantly modi-fied jump representation, we derive option pricing formulas in a jump/diffusion environment under exogenous and endogenous interest rate.
Author : Bernt Øksendal
Publisher : Springer Science & Business Media
ISBN 13 : 3540698264
Total Pages : 263 pages
Book Rating : 4.5/5 (46 download)
Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author : Javier F. Navas
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (129 download)
Download or read book Calculation of Volatility in a Jump-Diffusion Model written by Javier F. Navas and published by . This book was released on 2007 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: A common way to incorporate discontinuities in asset returns is to add a Poisson process to a Brownian motion. The jump-diffusion process provides probability distributions that typically fit market data better than those of the simple diffusion process. To compare the performance of these models in option pricing, the total volatility of the jump-diffusion process must be used in the Black-Scholes formula. A number of authors, including Merton (1976a amp; b), Ball and Torous (1985), Jorion (1988), and Amin (1993), miscalculate this volatility because they do not include the effect of uncertainty over the jump size. We calculate the volatility correctly and show how this affects option prices.
Author : Hui Fang
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (94 download)
Download or read book Option Pricing and Hedging Under Jump Diffusion Model with Differential Interest Rates written by Hui Fang and published by . This book was released on 2014 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fernanda D'Ippoliti
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)
Download or read book Exact and Approximated Option Pricing in a Stochastic Volatility Jump-Diffusion Model written by Fernanda D'Ippoliti and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jumps in both spot return and volatility dynamics. The model admits, in the spirit of Heston, a closed-form solution for European-style options. To evaluate more complex derivatives for which there is no explicit pricing expression, such as barrier options, a numerical methodology, based on an “exact algorithm” proposed by Broadie and Kaya, is applied. This technique is called exact as no discretisation of dynamics is required. We end up testing the goodness of our methodology using, as real data, prices and implied volatilities from the DJ Euro Stoxx 50 market and providing some numerical results for barrier options and their Greeks.
