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ChapterJump-Diffusion Models

Wolfgang J. Runggaldier2003

Chapter2003

Jump-Diffusion Models

Wolfgang J. Runggaldier

91 citations·0/0 files stored·Elsevier eBooks

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

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References

1976Option pricing when underlying stock returns are discontinuous 1976The valuation of options for alternative stochastic processes 1997Empirical Performance of Alternative Option Pricing Models 1990Hedging of contingent claims under incomplete information 1988On Jump Processes in the Foreign Exchange and Stock Markets 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 1985Hedging of non-redundant contingent claims 1985On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

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2006Strong approximations of stochastic differential equations with jumps 2013A Calibration Procedure for Analyzing Stock Price Dynamics in an Agent-Based Framework 2013Option pricing under regime-switching jump–diffusion models 2008Exchange Options Under Jump-Diffusion Dynamics 2012FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS 2007

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2001Option Pricing with a General Marked Point Processarticle · 9 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2003The Term Structure of Simple Forward Rates with Jump Riskarticle · 7 shared references 2005Is it important to consider the jump component for pricing and hedging short-term options?article · 7 shared references 2010Jump risk, stock returns, and slope of implied volatility smilearticle · 6 shared references

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Year2003

Typechapter

Published2003-01-01

VenueElsevier eBooks

Languageen

Citations91

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/b978-044450896-6.50007-8

openalex_workW2199704568

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Approximation of jump diffusions in finance and economics

2011The representation of American options prices under stochastic volatility and jump-diffusion dynamics