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American Call Options under Jump-Diffusion Processes
In this chapter we shall drop the stochastic volatility component from the dynamics by assuming that the variance is constant and merely discuss how to handle the jump term in the transform approach. Option pricing under jump-diffusion dynamics was originally investigated by Merton (1976) for the case of the European option, but here we also consider ...Carl Chiarella +2 more
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PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES
Probability in the Engineering and Informational Sciences, 2017Xingchun Wang
exaly
Equivalent and absolutely continuous measure changes for jump-diffusion processes
Annals of Applied Probability, 2005exaly
Discrete approximation of symmetric jump processes on metric measure spaces
Probability Theory and Related Fields, 2012Zhen-Qing Chen +2 more
exaly
Markov chain Monte Carlo inference for Markov jump processes via the linear noise approximation
Philosophical Transactions Series A, Mathematical, Physical, and Engineering Sciences, 2013exaly
The Malliavin Calculus for Pure Jump Processes and Applications to Local Time
Annals of Probability, 1986exaly
Jump-diffusion models with constant parameters for financial log-return processes
Computers and Mathematics With Applications, 2008exaly
Image segmentation : jump diffusion process approach
1996Trubuil, Alain +2 more
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