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Exchange Options Under Jump-Diffusion Dynamics [PDF]
Applied Mathematical Finance, 2008 Abstract This article extends the exchange option model of Margrabe, where the distributions of both stock prices are log-normal with correlated Wiener components, to allow the underlying assets to be driven by jump-diffusion processes of the type originally introduced by Merton. We introduce the Radon–Nikodým derivative process that induces the change
Gerald H. L. Cheang, Carl Chiarella
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Terminal Invariance of Jump Diffusions
Doklady Mathematics, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Khrustalev, M. M., Tsarkov, K. A.
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2019
Market prices of financial assets often show jumps caused by unpredictable events or news. The market closing-opening is also a source of price jumps. The pure Brownian motion based diffusion models do not admit large asset price move in a short period of time. Adding jumps to diffusion can show skewed distributions with fat tail which are difficult to
Raymond H. Chan +3 more
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Market prices of financial assets often show jumps caused by unpredictable events or news. The market closing-opening is also a source of price jumps. The pure Brownian motion based diffusion models do not admit large asset price move in a short period of time. Adding jumps to diffusion can show skewed distributions with fat tail which are difficult to
Raymond H. Chan +3 more
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Exact Sampling of Jump-Diffusions
SSRN Electronic Journal, 2011This paper develops a method for the exact simulation of a skeleton, a hitting time, and other functionals of a one-dimensional jump diffusion with state-dependent drift, volatility, jump intensity, and jump size. The method requires the drift function to be C1, the volatility function to be C2, and the jump intensity function to be locally bounded ...
Kay Giesecke, Dmitry Smelov
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Nonparametric estimation of jump diffusion models
Journal of Econometrics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Park, Joon Y., Wang, Bin
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2015
This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide ...
Carl Chiarella +2 more
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This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide ...
Carl Chiarella +2 more
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A PDE Approach to Jump-Diffusions
SSRN Electronic Journal, 2010In this paper, we show that the calibration to an implied volatility surface and the pricing of contingent claims can be as simple in a jump-diffusion framework as in a diffusion one. Indeed, after defining the jump densities as those of diffusions sampled at independent and exponentially distributed random times, we show that the forward and backward ...
Peter Carr, Laurent Cousot
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AVERAGE OPTIONS FOR JUMP DIFFUSION MODELS
Asia-Pacific Journal of Operational Research, 2010In this paper, we study the problem of pricing average strike options in the case where the price processes are jump diffusion processes. As to the striking value we take the geometric average of the price process. Two cases are studied in details: One is the case where the jumping law of the price process is subject to a Gaussian distribution called ...
HIROSHI KUNITA, TAKUYA YAMADA
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