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 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 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 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 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 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 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 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 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 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 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 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 Valuation of Rainbow Options Under the Jump diffusion Process written by 莊雅筑 and published by . This book was released on 2016 with total page 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:

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 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 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.