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Pricing options under jump diffusion processes with fitted finite volume method
16 references·1 citing·32 second hop
Pricing options under jump diffusion processes with fitted finite volume method (2008)Pricing options under jump diffusion proc…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation (2006)Power Penalty Method for a Li…Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (2006)Finite Difference Methods in …Robust numerical methods for contingent claims under jump diffusion processes (2004)Robust numerical methods for …Numerical valuation of options with jumps in the underlying (2004)Numerical valuation of option…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)Quadratic Convergence for Val…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Numerical Analysis of American Option Pricing in a Jump-Diffusion Model (1997)Numerical Analysis of America…Jump Diffusion Option Valuation in Discrete Time (1993)Jump Diffusion Option Valuati…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A computational scheme for uncertain volatility model in option pricing (2009)A computational scheme for un…Pricing and hedging derivative securities in markets with uncertain volatilities (1995)A penalty method for American options with jump diffusion processes (2004)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Brownian Motion and Stochastic Calculus (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Measuring and Testing the Impact of News on Volatility (1993)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

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  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
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  • 2006Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation

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121 cited
  • 1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Model101 cited
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    • 2009A computational scheme for uncertain volatility model in option pricing29 cited