Pricing Vulnerable Options with Jump Clustering
نویسندگان
چکیده
منابع مشابه
The Fuzzy Jump-Diffusion Model to Pricing European Vulnerable Options
Owing to the fluctuation of financial markets from time to time, some parameters, such as the interest rate, volatility, cannot be precisely described. Under the assumption that the risk-free rate, the volatility, and the average jump intensity are fuzzy numbers, this paper presents the jump-diffusion approach to price vulnerable options in fuzzy environments. We also provide the crisp possibil...
متن کاملPricing vulnerable European options under a Markov-modulated jump diffusion process
WEI WANG Ningbo University, Department of Mathematics, Feng Hua Street 818, Ningbo City CHINA [email protected] XIAONAN SU Nanjing Audit University School of Science Yu Shan Street 86, Nanjing City CHINA [email protected] SHAOBO GAN Ningbo University, Department of Mathematics, Feng Hua Street 818, Ningbo City CHINA [email protected] LINYI QIAN East China Normal University School of Financ...
متن کاملPricing Asian Options for Jump Diffusions
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. We show that each of the element in this sequence is the unique classical solutions of a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast n...
متن کاملPricing Asian Options for Jump Diffusion
We construct a sequence of functions that uniformly converge (on compact sets) to the price of an Asian option, which is written on a stock whose dynamics follow a jump diffusion. The convergence is exponentially fast. We show that each element in this sequence is the unique classical solution of a parabolic partial differential equation (not an integro-differential equation). As a result we ob...
متن کاملPricing Options in Jump-Diffusion Models: An Extrapolation Approach
We propose a new computational method for the valuation of options in jump-diffusion models. The option value function for European and barrier options satisfies a partial integrodifferential equation (PIDE). This PIDE is commonly integrated in time by implicit-explicit (IMEX) time discretization schemes, where the differential (diffusion) term is treated implicitly, while the integral (jump) t...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2017
ISSN: 0270-7314
DOI: 10.1002/fut.21843