Properties of option prices in models with jumps
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Bergman, Yaacov Z & Grundy, Bruce D & Wiener, Zvi, 1996. "General Properties of Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1573-1610, December.
- N. Bellamy & M. Jeanblanc, 2000. "Incompleteness of markets driven by a mixed diffusion," Finance and Stochastics, Springer, vol. 4(2), pages 209-222.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- José Fajardo & Ernesto Mordecki, 2006.
"Skewness Premium with Lévy Processes,"
IBMEC RJ Economics Discussion Papers
2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- José Fajardo & Ernesto Mordecki, 2009. "Skewness Premium with Lévy Processes," CREATES Research Papers 2009-10, Department of Economics and Business Economics, Aarhus University.
- Hyong-Chol O & Ji-Sok Kim, 2013. "General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application," Papers 1309.6505, arXiv.org, revised Sep 2013.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
- Erik Ekstrom & Johan Tysk, 2006. "Convexity preserving jump-diffusion models for option pricing," Papers math/0601526, arXiv.org.
- Erik Ekstrom & Johan Tysk, 2007. "Convexity theory for the term structure equation," Papers math/0702435, arXiv.org.
- Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
- Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
- 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.
- Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
- Th'eo Durandard & Matteo Camboni, 2024. "Comparative Statics for Optimal Stopping Problems in Nonstationary Environments," Papers 2402.06999, arXiv.org, revised Jul 2024.
- Antonio Mele, 2003.
"Fundamental Properties of Bond Prices in Models of the Short-Term Rate,"
The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
- A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary University of London, School of Economics and Finance.
- Jos� Fajardo & Ernesto Mordecki, 2014. "Skewness premium with L�vy processes," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1619-1626, September.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
- Nikunj Kapadia & Gregory Willette, 2012. "Equilibrium exercise of European warrants," Review of Derivatives Research, Springer, vol. 15(2), pages 129-156, July.
- Dietmar P.J. Leisen, 2012. "Staged venture capital contracting with ratchets and liquidation rights," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 21-30, January.
- GARCIA, René & RENAULT, Éric, 1998.
"Risk Aversion, Intertemporal Substitution, and Option Pricing,"
Cahiers de recherche
9801, Universite de Montreal, Departement de sciences economiques.
- René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO.
- Garcia, R. & Renault, E., 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Working Papers 98-10, Center for Research in Economics and Statistics.
- Lorenzo Torricelli, 2012. "Pricing joint claims on an asset and its realized variance under stochastic volatility models," Papers 1206.2112, arXiv.org.
- Davison, Matt & Merener, Nicolas, 2023. "Equilibrium and real options in the ethanol industry: Modeling and empirical evidence," Journal of Commodity Markets, Elsevier, vol. 31(C).
- Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August.
- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
"Some recent developments in stochastic volatility modelling,"
Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
- Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.
- Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
Corrections
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:arx:papers:math/0509232. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.