Option Pricing When Jump Risk Is Systematic
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- Wang, Shin-Yun & Lin, Shih-Kuei, 2010. "The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 106-118, January.
- Chang, Carolyn W. & S.K. Chang, Jack & Lim, Kian-Guan, 1998. "Information-time option pricing: theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 48(2), pages 211-242, May.
- Karl Friedrich Mina & Gerald H. L. Cheang & Carl Chiarella, 2015.
"Approximate Hedging Of Options Under Jump-Diffusion Processes,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-26.
- Karl Mina & Gerald Cheang & Carl Chiarella, 2013. "Approximate Hedging of Options under Jump-Diffusion Processes," Research Paper Series 340, Quantitative Finance Research Centre, University of Technology, Sydney.
- Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1997. "Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance," NBER Working Papers 5976, National Bureau of Economic Research, Inc.
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
- Kourtis, Apostolos & Markellos, Raphael N. & Psychoyios, Dimitris, 2012. "Wine price risk management: International diversification and derivative instruments," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 30-37.
- Carolyn W. Chang, 1995. "A No-Arbitrage Martingale Analysis For Jump-Diffusion Valuation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 351-381, September.
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