SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing · Study

PreprintShelves

PreprintJump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Leif B. G. Andersen1999

OA

Preprintgreen1999

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Leif B. G. Andersen · Jesper Andreasen

95 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 95 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1976Option pricing when underlying stock returns are discontinuous 2016Numerical solution of stochastic differential equations 1987The Pricing of Options on Assets with Stochastic Volatilities 1981Martingales and stochastic integrals in the theory of continuous trading 1997Empirical Performance of Alternative Option Pricing Models

Cited by

2013A Calibration Procedure for Analyzing Stock Price Dynamics in an Agent-Based Framework 2011An Iterative Method for Pricing American Options Under Jump-Diffusion Models 2000The Dynamics of DAX Implied Volatilities 2011Implied Volatility Surface: Construction Methodologies and Characteristics 2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY 2008Systematic equity-based credit risk: A CEV model with jump to default

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 15 shared references 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricingarticle · 14 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 13 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 12 shared references 2000Pricing and hedging long-term optionsarticle · 10 shared references 2000Reading the smile: the message conveyed by methods which infer risk neutral densitiesarticle · 10 shared references

Details

Year1999

Typepreprint

Published1999-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations95

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.171438

openalex_workW2133244168

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2007Fourier Space Time-Stepping for Option Pricing With Levy Models

2004A Finite Difference Scheme for Option Pricing in Jump-Diffusion and Exponential Levy Models