A Modern View on Merton's Jump-Diffusion Model
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Cited by:
- Scalas, Enrico & Politi, Mauro, 2012.
"A parsimonious model for intraday European option pricing,"
Economics Discussion Papers
2012-14, Kiel Institute for the World Economy (IfW Kiel).
- Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
- 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.
- Nikita Ratanov, 2015. "Telegraph Processes with Random Jumps and Complete Market Models," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 677-695, September.
- Ulyah, Siti Maghfirotul & Lin, Xenos Chang-Shuo & Miao, Daniel Wei-Chung, 2018. "Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps," Finance Research Letters, Elsevier, vol. 24(C), pages 113-128.
- F. Antonelli & A. Ramponi & S. Scarlatti, 2016.
"Random Time Forward-Starting Options,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-25, December.
- Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2015. "Random Time Forward Starting Options," Papers 1504.03552, arXiv.org.
- Kuo-Shing Chen & Yu-Chuan Huang, 2021. "Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging," Mathematics, MDPI, vol. 9(20), pages 1-24, October.
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Keywords
financial derivatives; compound Poisson processes; equivalent martingale measure; hedging portfolio;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2011-01-30 (Risk Management)
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