PRICING OPTIONS UNDER JUMP-DIFFUSION PROCESSES David S. Bates … · Pricing Options Under Jump-Diffusion Processes David S. Bates Finance Department The Wharton School University
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Jump-Diffusion Processes: Volatility Smile Fitting and Numerical … · 2016-03-27 · JUMP-DIFFUSION PROCESSES 233 eters and consequently subject to fitting errors that often are
Jump Diffusion Models for Option Pricing versus the Black … · 2016. 4. 22. · The Black Scholes Model (1973), the Merton Jump-Diffusion Model (1975) ... Visual study as well as
IDENTIFYING SYSTEMATIC JUMP RISK IN FUTURESagecon.okstate.edu/faculty/publications/5015.pdfIdentifying Systematic Jump Risk in Futures A variety of multivariate jump-diffusion models
Jump-Diffusion Processes and Affine Term Structure Models: … · 2005. 12. 5. · Jump-Diffusion Processes and Affine Term Structure Models: Additional Closed-Form Approximate Solutions,
PRICING POWER DERIVATIVES: A TWO-FACTOR JUMP …
Option pricing in jump diffusion models with quadratic spline collocation · 2015. 12. 21. · 1 Option pricing in jump diffusion models with quadratic spline collocation Christina
Introduction to Merton Jump Diffusion Model - Matsuda Lab to MJD Matsuda.pdf · © 2004 Kazuhisa Matsuda All rights reserved. Introduction to Merton Jump Diffusion Model Kazuhisa
Non-parametric calibration of jump–diffusion option pricing …rama/papers/entropy.pdfWe present a non-parametric method for calibrating jump–diffusion and, more generally, exponential
Nonparametric calibration of jump-diffusion option pricing ...
MATHEMATICAL MODELING OF FRACTIONAL REACTION-DIFFUSION SYSTEMS WITH DIFFERENT ORDER TIME DERIVATIVES
Estimation of a Stochastic-Volatility Jump-Diffusion Model€¦ · (probability of an unusual event) is 33% each day. The jump diffusion estimates try to pick up the volatility clustering
A multi-factor jump-diffusion model for · PDF fileIntroducing a multi-factor jump-diffusion model for commodities ... options in a multi-factor jump-diffusion model using Fourier
By: Brian Scott. Topics Defining a Stochastic Process Geometric Brownian Motion G.B.M. With Jump Diffusion G.B.M with jump diffusion when volatility is.
Option pricing and hedging in jump diffusion modelsuu.diva-portal.org/smash/get/diva2:320832/FULLTEXT01.pdfThere are rather extensive studies in the jump -diffusion model. As early
Multivariate Jump Diffusion Models for the Foreign Exchange Market
Paul Glasserman - Saddlepoint Approximations for Affine Jump-Diffusion Models.pdf
Optimal Portfolio Problem for Stochastic-Volatility, Jump ...homepages.math.uic.edu/~hanson/pub/BFS08/bfs08... · Optimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion
