Download or read book Displaced Jump Diffusion Option Valuation written by Antonio Camara and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the jump-diffusion option pricing model of Merton (1976) and the displaced diffusion option pricing model of Rubinstein (1983) to price options on stock indices. First, we provide a theory showing that the stock index value has a positive threshold or positive lower bound if the constituent firms of the index, when their equity falls below a given value, are replaced by new firms with higher equity. Second, using equilibrium arguments in an economy where the systematic jump risk of the stock index can not be eliminated, we derive a displaced jump-diffusion (DJD) option valuation model to price options written on stock indices. Third, we test empirically our DJD option pricing model using Samp;P 500 index options data from January 1996 through April 2006. The results of the tests strongly support our theories.
Download or read book Jump diffusion Option Valuation written by Mark Edward Simpson and published by . This book was released on 2004 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 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:
Download or read book Numerical Analysis Of Stochastic Volatility Jump Diffusion Models written by Abdelilah Jraifi and published by LAP Lambert Academic Publishing. This book was released on 2014-06-30 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system "EIDS," of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value.
Download or read book Valuation of American Options with Jump Diffusion Processes written by Kaushik I. Amin and published by . This book was released on 1990 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Pricing Options in Jump Diffusion Models written by Liming Feng and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new computational method for the valuation of options in jump-diffusion models. The option value function for European and barrier options satisfies a partial integro-differential equation (PIDE). This PIDE is commonly integrated in time by implicit-explicit (IMEX) time discretization schemes, where the differential (diffusion) term is treated implicitly, while the integral (jump) term is treated explicitly. In particular, the popular IMEX Euler scheme is first order accurate in time. Second order accuracy in time can be achieved by using the IMEX midpoint scheme. In contrast to the above approaches, we propose a new high-order time discretization scheme for the PIDE based on the extrapolation approach to the solution of ODEs, that also treats the diffusion term implicitly and the jump term explicitly. The scheme is simple to implement, can be added to any PIDE solver based on the IMEX Euler scheme, and is remarkably fast and accurate. We demonstrate our approach on the examples of Merton's and Kou's jump-diffusion models, diffusion-extended Variance Gamma model, as well as the two-dimensional Duffie-Pan-Singleton model with correlated and contemporaneous jumps in the stock price and its volatility. By way of example, pricing a one-year double-barrier option in Kou's jump-diffusion model, our scheme attains accuracy of $10^{-5}$ in 72 time steps (in 0.05 seconds). In contrast, it takes the first-order IMEX Euler scheme more than 1.3 million time steps (in 873 seconds) and the second-order IMEX midpoint scheme 768 time steps (in 0.49 seconds) to attain the same accuracy. Our scheme is also well suited for Bermudan options. Combining simplicity of implementation and remarkable gains in computational efficiency, we expect this method to be very attractive to financial engineering modelers.
Download or read book Option Pricing in a Jump Diffusion Setting written by Patrick Meredith Muchmore and published by . This book was released on 2005 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Under Exponential Jump Diffusion Processes written by Tianren Bu and published by . This book was released on 2018 with total page 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 Numerical Methods for the Valuation of American Options Under Jump diffusion Processes written by Byeongwook Choi and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 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:
