A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes
Download full text from publisher
References listed on IDEAS
- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
- Bates, David S, 1991. " The Crash of '87: Was It Expected? The Evidence from Options Markets," Journal of Finance, American Finance Association, vol. 46(3), pages 1009-1044, July.
- David B. Colwell & Robert J. Elliott, 1993. "Discontinuous Asset Prices And Non-Attainable Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 295-308.
- Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," The Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July.
- Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, June.
- Alan L. Lewis, 1998. "Applications of Eigenfunction Expansions in Continuous-Time Finance," Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 349-383.
- Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
- Naik, Vasanttilak & Lee, Moon, 1990. "General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 493-521.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Roger Lord & Christian Kahl, 2006. "Optimal Fourier Inversion in Semi-analytical Option Pricing," Tinbergen Institute Discussion Papers 06-066/2, Tinbergen Institute, revised 05 Jun 2007.
- Peng Cheng & Olivier Scaillet, 2002.
"Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility,"
FAME Research Paper Series
rp67, International Center for Financial Asset Management and Engineering.
- Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Tobias Lipp & Grégoire Loeper & Olivier Pironneau, 2013. "Mixing Monte-Carlo and Partial Differential Equations for Pricing Options," Post-Print hal-01558826, HAL.
- repec:eee:apmaco:v:317:y:2018:i:c:p:68-84 is not listed on IDEAS
- Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
- Philipp Mayer & Natalie Packham & Wolfgang Schmidt, 2015. "Static hedging under maturity mismatch," Finance and Stochastics, Springer, vol. 19(3), pages 509-539, July.
- repec:wsi:ijtafx:v:16:y:2013:i:06:n:s0219024913500349 is not listed on IDEAS
- Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filtering and option pricing," Papers 1706.09755, arXiv.org.
- Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007.
"Fractional diffusion models of option prices in markets with jumps,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 374(2), pages 749-763.
- Alvaro Cartea & Diego del-Castillo-Negrete, 2006. "Fractional Diffusion Models of Option Prices in Markets with Jumps," Birkbeck Working Papers in Economics and Finance 0604, Birkbeck, Department of Economics, Mathematics & Statistics.
- Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015. "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 512-520.
- Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Fluctuation identities with continuous monitoring and their application to price barrier options," Papers 1712.00077, arXiv.org.
- Küchler, Uwe & Tappe, Stefan, 2014. "Exponential stock models driven by tempered stable processes," Journal of Econometrics, Elsevier, vol. 181(1), pages 53-63.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
- repec:wsi:ijtafx:v:16:y:2013:i:01:n:s0219024913500015 is not listed on IDEAS
- Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
- repec:wsi:ijtafx:v:16:y:2013:i:08:n:s0219024913500507 is not listed on IDEAS
- Noureddine Krichene, 2005. "Subordinated Levy Processes and Applications to Crude Oil Options," IMF Working Papers 05/174, International Monetary Fund.
- Wong, Hoi Ying & Lo, Yu Wai, 2009. "Option pricing with mean reversion and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 197(1), pages 179-187, August.
- Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," LSE Research Online Documents on Economics 67564, London School of Economics and Political Science, LSE Library.
- Fajardo, José, 2015. "Barrier style contracts under Lévy processes: An alternative approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 179-187.
- Lorenzo Torricelli, 2016. "Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 19(1), pages 1-39, April.
More about this item
Keywordsoption pricing; jump-diffusion; Levy processes; Fourier; characteristic function; transforms; residue; call options; discontinuous; jump processes; analytic characteristic; Levy-Khintchine; infinitely divisible; independent increments;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-09-10 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vsv:svpubs:explevy. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alan Lewis). General contact details of provider: http://www.optioncity.net .