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Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering · Study

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ChapterChapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering

Steven G. Kou2007

Chapter2007

Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering

83 citations·0/0 files stored·Handbooks in operations research and management science

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1999Coherent Measures of Risk 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1978Asset Prices in an Exchange Economy 1963The Variation of Certain Speculative Prices

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2013Valuing equity-linked death benefits in jump diffusion models 2018A General Framework for Time-Changed Markov Processes and Applications 2019A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process 2023A bibliographic overview of financial engineering in the emerging financial market

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2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 21 shared references 2005Pricing Path-Dependent Options with Jump Risk via Laplace Transformsarticle · 21 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 20 shared references 2012Finite-Element Methodschapter · 17 shared references 2002A Jump-Diffusion Model for Option Pricingarticle · 15 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 15 shared references

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Year2007

Typechapter

Published2007-01-01

VenueHandbooks in operations research and management science

ISSN-L0927-0507

Languageen

Citations83

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0927-0507(07)15002-7

openalex_workW1575004407

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