Search Results - subject:"Jump diffusion model"

Moment-implied densities : properties and applications

Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111

Persistent link: https://www.econbiz.de/10010380476

Day-of-the-week and jump effects in international investment sentiment indices

Lee, Yen-Hsien - In: Investment management and financial innovations 11 (2014) 2, pp. 60-68

Persistent link: https://www.econbiz.de/10010392833

Lower bound approximation to basket option values for local volatility jump-diffusion models

Xu, Guoping; Zheng, Harry - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10010363942

LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS

XU, GUOPING; ZHENG, HARRY - In: International Journal of Theoretical and Applied … 17 (2014) 01, pp. 1450007-1

In this paper, we derive an easily computed approximation to European basket call prices for a local volatility jump-diffusion … model. We apply the asymptotic expansion method to find the approximate value of the lower bound of European basket call …

Persistent link: https://www.econbiz.de/10010883224

Perpetual barrier options in jump-diffusion models

Gapeev, Pavel V. - 2006

We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...

Persistent link: https://www.econbiz.de/10010263649

Perpetual Barrier Options in Jump-Diffusion Models

Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

We present a closed form solution to the perpetual American double barrier call option problem in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial irregular optimal stopping problem to an...

Persistent link: https://www.econbiz.de/10005784840