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.

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.

Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

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:

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.

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:

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:

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:

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.

Download or read book The Concepts and Practice of Mathematical Finance written by Mark S. Joshi and published by Cambridge University Press. This book was released on 2008-10-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a successful text providing the working knowledge needed to become a good quantitative analyst. An ideal introduction to mathematical finance, readers will gain a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice.

Download or read book Simulation Study on Option Pricing Under Jump Diffusion Models written by Justin Rodrigues and published by . This book was released on 2013 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Lévy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.

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:

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:

Download or read book Quantitative Finance written by Maria C. Mariani and published by John Wiley & Sons. This book was released on 2019-11-06 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations. Classroom-tested over a three-year period with the input of students and experienced practitioners Emphasizes the volatility of financial analyses and interpretations Weaves theory with application throughout the book Utilizes R and MATLAB software programs Presents pseudo-algorithms for readers who do not have access to any particular programming system Supplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.

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.

Download or read book Stochastic Volatility and Jump Diffusion Option Pricing Model written by Aytekin Sari and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Pricing Under a Double Exponential Jump Diffusion Model written by Steven Kou and published by . This book was released on 2001 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: The double exponential jump diffusion model is one of the models that has been proposed to incorporate the leptokurtic feature (meaning having both high peak and heavy tails in asset return distributions) and the volatility smile. This paper demonstrates that, unlike many other models, the double exponential jump diffusion model can lead to analytical tractability for path-dependent options. Obtained are closed form solutions for perpetual American options, as well as the Laplace transforms of lookback options and barrier options. Numerical examples indicate that the formulae are easily implemented.