Abstract: This paper studies the pricing of forward starting options under regime switching jump diffusion models. We suppose that a market economy has only two states, one is a stable state, the other is a high volatility state. The dynamics of a risky asset is modeled by a geometry Brownian motion when the market state is stable, otherwise, it follows a jump diffusion model. We propose two ty...

This paper treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market in one phase and then applying the resulting model to a stochastic optimal portfolio application in a second phase. The new developments are the use of uniform jump-amplitude distributions and time-varying ...

In the execution cost problem, an investor wants to minimize the total expected cost and risk in the execution of a portfolio of risky assets to achieve desired positions. A major source of the execution cost comes from price impacts of both the investor’s own trades and other concurrent institutional trades. Indeed price impact of large trades have been considered as one of the main reasons fo...

The main goal of this paper is to study market volatility risk premia. I develop a multifactor model by proposing a pricing kernel, where the market return, the diffusion volatility and the jump volatility are fundamental factors that change the investment opportunity set. Based on estimates of the diffusion and jump volatility factors using an enriched dataset including S&P500 index returns, i...

This paper treats jump-diffusion processes in continuous time, with emphasis on jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights or reciprocal variances are chosen by the theory ...

This paper treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights or reciprocal variances are chosen as by the ...

We consider the problem of valuation of certain Asian options in the geometric jump-diffusion models with continuously dividend-paying assets. With the sources of diffusion risks and two primitive tradeable assets, the market in this model is, in general, incomplete, and so, there are more than one equivalent martingale measures and no-arbitrage prices. For this jump-diffusion model, we adopt t...

The jump diffusion process has come to play an important role in many branches of science and industry. In their book [25], Øksendal and Sulem have studied the optimal control, optimal stopping and impulse control for jump diffusion processes. In mathematical finance theory, many researchers have developed option pricing theory, for example, Merton [24] was the first to use the jump process to ...

This research analyzes trading strategies with derivatives when there are several assets and risk factors. We investigate portfolio improvement if investors have full and partial access to the derivatives markets, i.e. situations in which derivatives are written on some but not all stocks or risk factors traded on the market. The focus is on markets with jump risk. In these markets the choice o...