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Testing for the Presence of Jump Components in Jump Diffusion Models
SSRN Electronic Journal, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Bin, Zheng, Xu
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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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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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Optimal stopping for a diffusion with jumps [PDF]
Finance and Stochastics, 1999 This paper contains some closed form solutions to optimal stopping problems when the stopped process is a diffusion process with jumps. The main application is option pricing when returns are allowed to jump at Poissonian times. The result can be interpreted as pricing perpetual American options under diffusion-jump information.
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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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A Note on Diffusion Processes with Jumps
2018We focus on stochastic diffusion processes with jumps occurring at random times. After each jump the process is reset to a fixed state from which it restarts with a different dynamics. We analyze the transition probability density function, its moments and the first passage time density.
giorno, virginia, Spina, Serena
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Long jumps in surface diffusion
Journal of Colloid and Interface Science, 2004Diffusion on metal surfaces is often viewed as the movement of atoms jumping between nearest-neighbor sites. However, statistical predictions suggest that at elevated temperatures longer jumps should become important. Now, with instruments such as the field ion microscope and the scanning tunneling microscope, which reveal individual adsorbed atoms, it
Grazyna, Antczak, Gert, Ehrlich
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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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2017
In this chapter we study a class of diffusions with jumps. The extreme elements of this class are, on the one hand, homogeneous diffusion processes and, on the other hand, Poisson processes with a variable intensity. It will be proved that diffusions with jumps have many good properties inherited both from classical diffusion processes and from Poisson
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In this chapter we study a class of diffusions with jumps. The extreme elements of this class are, on the one hand, homogeneous diffusion processes and, on the other hand, Poisson processes with a variable intensity. It will be proved that diffusions with jumps have many good properties inherited both from classical diffusion processes and from Poisson
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Stability of Regime-Switching Jump Diffusions
SIAM Journal on Control and Optimization, 2010Summary: This work is concerned with the stability of a class of switching jump-diffusion processes. The processes under consideration can be thought of as a number of jump-diffusion processes modulated by a random switching device. The motivation of our study stems from a wide range of applications in communication systems, flexible manufacturing and ...
Gang George Yin, Fubao Xi
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