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Option Pricing Under a Mixed-Exponential Jump Diffusion Model

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Cited by:

  1. Endres, Sylvia & Stübinger, Johannes, 2017. "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics 17/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  2. Zhao, Pan & Pan, Jian & Yue, Qin & Zhang, Jinbo, 2021. "Pricing of financial derivatives based on the Tsallis statistical theory," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
  3. Schoenmaker, Dirk & Reinders, Henk Jan & Van Dijk, Mathijs, 2020. "Is COVID-19 a threat to financial stability in Europe?," CEPR Discussion Papers 14922, C.E.P.R. Discussion Papers.
  4. Xindan Li & Dan Tang & Yongjin Wang & Xuewei Yang, 2014. "Optimal processing rate and buffer size of a jump-diffusion processing system," Annals of Operations Research, Springer, vol. 217(1), pages 319-335, June.
  5. Buckley, Winston & Long, Hongwei & Marshall, Mario, 2016. "Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets," European Journal of Operational Research, Elsevier, vol. 252(2), pages 676-686.
  6. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
  7. Markus Leippold & Nikola Vasiljević, 2020. "Option-Implied Intrahorizon Value at Risk," Management Science, INFORMS, vol. 66(1), pages 397-414, January.
  8. Zhaoqiang Yang, 2017. "Efficient valuation and exercise boundary of American fractional lookback option in a mixed jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
  9. David Landriault & Bin Li & Mohamed Amine Lkabous, 2019. "On occupation times in the red of L\'evy risk models," Papers 1903.03721, arXiv.org, revised Jul 2019.
  10. Shi, Chao, 2022. "Asymptotic Analysis of the Mixed-Exponential Jump Diffusion Model and Its Financial Applications," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  11. Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
  12. Dilip B. Madan & Wim Schoutens & King Wang, 2017. "Measuring And Monitoring The Efficiency Of Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
  13. Chen, Rongda & Zhou, Hanxian & Yu, Lean & Jin, Chenglu & Zhang, Shuonan, 2021. "An efficient method for pricing foreign currency options," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  14. Yichen Lu & Ruili Song, 2024. "Pricing of a Binary Option Under a Mixed Exponential Jump Diffusion Model," Mathematics, MDPI, vol. 12(20), pages 1-14, October.
  15. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
  16. Djilali Ait Aoudia & Jean-Franc{c}ois Renaud, 2016. "Pricing occupation-time options in a mixed-exponential jump-diffusion model," Papers 1603.09329, arXiv.org.
  17. Lee, Hangsuck & Lee, Gaeun & Song, Seongjoo, 2023. "Min–max multi-step barrier options and their variants," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  18. Lee, Hangsuck & Choi, Yang Ho & Lee, Gaeun, 2022. "Multi-step barrier products and static hedging," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  19. Wang, Xingchun, 2016. "Pricing power exchange options with correlated jump risk," Finance Research Letters, Elsevier, vol. 19(C), pages 90-97.
  20. Xiao, Weilin & Zhang, Xili, 2016. "Pricing equity warrants with a promised lowest price in Merton’s jump–diffusion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 219-238.
  21. Nishant Agrawal & Yaozhong Hu, 2020. "Jump Models with delay -- option pricing and logarithmic Euler-Maruyama scheme," Papers 2010.04287, arXiv.org, revised Oct 2020.
  22. Wang, Xingchun, 2020. "Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 16-26.
  23. Reinders, Henk Jan & Schoenmaker, Dirk & van Dijk, Mathijs, 2023. "A finance approach to climate stress testing," Journal of International Money and Finance, Elsevier, vol. 131(C).
  24. Zhou, Qing & Zhang, Xili, 2020. "Pricing equity warrants in Merton jump–diffusion model with credit risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  25. Rehez Ahlip & Laurence A. F. Park & Ante Prodan, 2017. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-30, March.
  26. Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020. "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers 2002.04675, arXiv.org, revised Jan 2021.
  27. Helin Zhu & Fan Ye & Enlu Zhou, 2015. "Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1885-1900, November.
  28. Yang, Zhaoqiang, 2020. "Default probability of American lookback option in a mixed jump-diffusion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  29. Ning Cai & Steven Kou, 2012. "Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model," Operations Research, INFORMS, vol. 60(1), pages 64-77, February.
  30. Jiwook Jang & Jong Jun Park & Hyun Jin Jang, 2018. "Catastrophe Insurance Derivatives Pricing Using A Cox Process With Jump Diffusion Cir Intensity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-20, November.
  31. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2019. "A general framework for time-changed Markov processes and applications," European Journal of Operational Research, Elsevier, vol. 273(2), pages 785-800.
  32. Dai, Min & Huang, Shan & Keppo, Jussi, 2019. "Opaque bank assets and optimal equity capital," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 369-394.
  33. Liu, Guo & Jin, Zhuo & Li, Shuanming, 2021. "Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 508-524.
  34. Deelstra, Griselda & Hieber, Peter, 2023. "Randomization and the valuation of guaranteed minimum death benefits," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1218-1236.
  35. Wujiang Lou, 2016. "Repo Haircuts and Economic Capital: A Theory of Repo Pricing," Papers 1604.05404, arXiv.org, revised Jul 2020.
  36. Yu, Jianfeng & Xu, Weidong, 2016. "Pricing turbo warrants under mixed-exponential jump diffusion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 490-501.
  37. Lee, Sangjun & Zhao, Jinhua, 2021. "Adaptation to climate change: Extreme events versus gradual changes," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  38. Ning Cai & Wei Zhang, 2020. "Regime Classification and Stock Loan Valuation," Operations Research, INFORMS, vol. 68(4), pages 965-983, July.
  39. Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Barrier option pricing under a Markov Regime switching diffusion model," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 273-280.
  40. Bi, Hongwei & Wang, Guanying & Wang, Xingchun, 2019. "Valuation of catastrophe equity put options with correlated default risk and jump risk," Finance Research Letters, Elsevier, vol. 29(C), pages 323-329.
  41. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
  42. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452, arXiv.org.
  43. Wujiang Lou, 2017. "Haircutting Non-cash Collateral," Papers 1708.07585, arXiv.org.
  44. Timothy Hillman & Nan Zhang & Zhuo Jin, 2018. "Real-Option Valuation in a Finite-Time, Incomplete Market with Jump Diffusion and Investor-Utility Inflation," Risks, MDPI, vol. 6(2), pages 1-20, May.
  45. Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023. "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers 2303.16371, arXiv.org.
  46. Xie, Jiayi & Cui, Zhenyu & Zhang, Zhimin, 2022. "Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps," Applied Mathematics and Computation, Elsevier, vol. 429(C).
  47. Chenxu Li, 2016. "Bessel Processes, Stochastic Volatility, And Timer Options," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 122-148, January.
  48. Michael C. Fu & Bingqing Li & Rongwen Wu & Tianqi Zhang, 2020. "Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model," Papers 2006.15054, arXiv.org.
  49. Xuefeng Gao & Lingfei Li & Xun Yu Zhou, 2024. "Reinforcement Learning for Jump-Diffusions, with Financial Applications," Papers 2405.16449, arXiv.org, revised Jan 2025.
  50. Park, Jong Jun & Jang, Hyun Jin & Jang, Jiwook, 2020. "Pricing arithmetic Asian options under jump diffusion CIR processes," Finance Research Letters, Elsevier, vol. 34(C).
  51. Aleksandar Mijatovic & Martijn Pistorius & Johannes Stolte, 2014. "Randomisation and recursion methods for mixed-exponential Levy models, with financial applications," Papers 1410.7316, arXiv.org.
  52. Liu, Xiaoquan & Cao, Yi & Ma, Chenghu & Shen, Liya, 2019. "Wavelet-based option pricing: An empirical study," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1132-1142.
  53. Li, Xin, 2023. "Generalized two-barrier proportional step options," Finance Research Letters, Elsevier, vol. 51(C).
  54. Chao Xu & Yinghui Dong & Guojing Wang, 2019. "The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(9), pages 2185-2205, May.
  55. Ludovic Mathys, 2019. "Valuing Tradeability in Exponential L\'evy Models," Papers 1912.00469, arXiv.org, revised Feb 2020.
  56. Wei-Guo Zhang & Zhe Li & Yong-Jun Liu & Yue Zhang, 2021. "Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 483-515, August.
  57. Gries, Thomas & Naudé, Wim, 2022. "Breakthroughs, Backlashes and Artificial General Intelligence: An Extended Real Options Approach," IZA Discussion Papers 15077, Institute of Labor Economics (IZA).
  58. Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021. "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 232-247.
  59. Koo, Eunho & Kim, Geonwoo, 2017. "Explicit formula for the valuation of catastrophe put option with exponential jump and default risk," Chaos, Solitons & Fractals, Elsevier, vol. 101(C), pages 1-7.
  60. Cai, Ning & Li, Chenxu & Shi, Chao, 2021. "Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  61. Zhiqiang Zhou & Hongying Wu, 2018. "Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries," Discrete Dynamics in Nature and Society, Hindawi, vol. 2018, pages 1-12, September.
  62. Sheng-Feng Luo & Hsin-Chieh Wong, 2023. "Continuity correction: on the pricing of discrete double barrier options," Review of Derivatives Research, Springer, vol. 26(1), pages 51-90, April.
  63. Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2020. "On occupation times in the red of Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 17-26.
  64. Lei, Yaoting & Xu, Jing, 2015. "Costly arbitrage through pairs trading," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 1-19.
  65. Ning Cai & Xuewei Yang, 2021. "A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 216-229, January.
  66. Fabrice Baudoin & Oleksii Mostovyi, 2024. "The indifference value of the weak information," Papers 2408.02137, arXiv.org.
  67. Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2013. "Valuing equity-linked death benefits in jump diffusion models," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 615-623.
  68. Jin-Yu Zhang & Wen-Bo Wu & Yong Li & Zhu-Sheng Lou, 2021. "Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 867-884, October.
  69. Ludovic Mathys, 2019. "On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options," Papers 1912.00454, arXiv.org.
  70. Cai, Ning & Sun, Lihua, 2014. "Valuation of stock loans with jump risk," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 213-241.
  71. Walter Farkas & Ludovic Mathys, 2020. "Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing," Papers 2002.09911, arXiv.org.
  72. Nishant Agrawal & Yaozhong Hu, 2020. "Jump Models with Delay—Option Pricing and Logarithmic Euler–Maruyama Scheme," Mathematics, MDPI, vol. 8(11), pages 1-21, November.
  73. Michael C. Fu & Bingqing Li & Guozhen Li & Rongwen Wu, 2017. "Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions," Management Science, INFORMS, vol. 63(11), pages 3961-3977, November.
  74. Daniel Hackmann, 2017. "Analytic techniques for option pricing under a hyperexponential L\'{e}vy model," Papers 1705.05934, arXiv.org.
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