Add to ORKGWe introduce a discrete trinomial market model, with the relative risk-neutral measures, that converges in law to a jump-diffusion model. In this model we value the arbitrage price of an option and we verify numerically the goodness of the convergence of prices
This paper considers the pricing of options when there are jumps in the pricing kernel and correlate...
In this paper we propose new option pricing models based on class of models with jump contain in the...
2003We present a non-parametric method for calibrating jump-diffusion models to a set of observed op...
We derive a computable approximation for the value of a European call option when prices satisfy a j...
The author develops a simple, discrete time model to value options when the underlying process follo...
We discuss a practical method to price and hedge European contingent claims on assets with price pro...
AbstractIn this paper we find numerical solutions for the pricing problem in jump diffusion markets....
This paper characterizes the rate of convergence of discrete-time multinomial option prices. We show...
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
Abstract In this paper we discuss the approximate basket options valu-ation for a jump-diffusion mod...
In this thesis we discuss basket option valuation for jump-diffusion models. We suggest three new ap...
The payoff of a barrier option depends on whether a specified underlying asset price crosses a speci...
Modern arbitrage theory reduces the pricing of options to the com-putation of an expectation under a...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
We extend the stochastic volatility model in Moretto et al. [MPT05] to a stochastic volatility jump-...
This paper considers the pricing of options when there are jumps in the pricing kernel and correlate...
In this paper we propose new option pricing models based on class of models with jump contain in the...
2003We present a non-parametric method for calibrating jump-diffusion models to a set of observed op...
We derive a computable approximation for the value of a European call option when prices satisfy a j...
The author develops a simple, discrete time model to value options when the underlying process follo...
We discuss a practical method to price and hedge European contingent claims on assets with price pro...
AbstractIn this paper we find numerical solutions for the pricing problem in jump diffusion markets....
This paper characterizes the rate of convergence of discrete-time multinomial option prices. We show...
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
Abstract In this paper we discuss the approximate basket options valu-ation for a jump-diffusion mod...
In this thesis we discuss basket option valuation for jump-diffusion models. We suggest three new ap...
The payoff of a barrier option depends on whether a specified underlying asset price crosses a speci...
Modern arbitrage theory reduces the pricing of options to the com-putation of an expectation under a...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
We extend the stochastic volatility model in Moretto et al. [MPT05] to a stochastic volatility jump-...
This paper considers the pricing of options when there are jumps in the pricing kernel and correlate...
In this paper we propose new option pricing models based on class of models with jump contain in the...
2003We present a non-parametric method for calibrating jump-diffusion models to a set of observed op...