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A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes

Citations

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Cited by:

  1. Young Shin Kim, 2019. "Tempered stable process, first passage time, and path-dependent option pricing," Computational Management Science, Springer, vol. 16(1), pages 187-215, February.
  2. Peter Carr & Lorenzo Torricelli, 2021. "Additive logistic processes in option pricing," Finance and Stochastics, Springer, vol. 25(4), pages 689-724, October.
  3. Ma, Yong & Pan, Dongtao & Shrestha, Keshab & Xu, Weidong, 2020. "Pricing and hedging foreign equity options under Hawkes jump–diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  4. N. Moreni & A. Pallavicini, 2014. "Parsimonious HJM modelling for multiple yield curve dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 199-210, February.
  5. 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.
  6. 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.
  7. Kilin, Fiodar, 2006. "Accelerating the calibration of stochastic volatility models," MPRA Paper 2975, University Library of Munich, Germany, revised 22 Apr 2007.
  8. Tobias Lipp & Grégoire Loeper & Olivier Pironneau, 2013. "Mixing Monte-Carlo and Partial Differential Equations for Pricing Options," Post-Print hal-01558826, HAL.
  9. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
  10. C. E. Phelan & D. Marazzina & G. Germano, 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.
  11. Rihito Sakurai & Haruto Takahashi & Koichi Miyamoto, 2024. "Learning parameter dependence for Fourier-based option pricing with tensor trains," Papers 2405.00701, arXiv.org, revised Oct 2024.
  12. Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre.
  13. Alexander Lipton & Andrey Gal & Andris Lasis, 2013. "Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results," Papers 1312.5693, arXiv.org.
  14. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
  15. Kevin Kurt & Rudiger Frey, 2021. "Markov-Modulated Affine Processes," Papers 2106.16240, arXiv.org, revised Aug 2022.
  16. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022. "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.
  17. Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018. "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, vol. 271(1), pages 210-223.
  18. Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
  19. Rama Cont & Nicolas Lantos & Olivier Pironneau, 2011. "A reduced basis for option pricing," Post-Print hal-00522410, HAL.
  20. Alvaro Cartea & Sam Howison, 2009. "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 397-409.
  21. Xu Guo & Yutian Li, 2016. "Valuation of American options under the CGMY model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1529-1539, October.
  22. Leitao, Álvaro & Oosterlee, Cornelis W. & Ortiz-Gracia, Luis & Bohte, Sander M., 2018. "On the data-driven COS method," Applied Mathematics and Computation, Elsevier, vol. 317(C), pages 68-84.
  23. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
  24. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
  25. Ben Hambly & Sam Howison & Tino Kluge, 2009. "Modelling spikes and pricing swing options in electricity markets," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 937-949.
  26. Philipp Mayer & Natalie Packham & Wolfgang Schmidt, 2015. "Static hedging under maturity mismatch," Finance and Stochastics, Springer, vol. 19(3), pages 509-539, July.
  27. Torricelli, Lorenzo, 2020. "Trade duration risk in subdiffusive financial models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  28. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2002. "Weather Derivatives: Managing Risk With Market-Based Instruments," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19074, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  29. Sebastian Jaimungal & Vladimir Surkov, 2013. "Valuing Early-Exercise Interest-Rate Options With Multi-Factor Affine Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(06), pages 1-29.
  30. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2019. "Hilbert transform, spectral filters and option pricing," Annals of Operations Research, Springer, vol. 282(1), pages 273-298, November.
  31. 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.
  32. Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 9319, University Library of Munich, Germany.
  33. Cummins, Mark & Kiely, Greg & Murphy, Bernard, 2018. "Gas storage valuation under multifactor Lévy processes," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 167-184.
  34. Alexander van Haastrecht & Antoon Pelsser, 2011. "Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 665-691.
  35. 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.
  36. Xiaowei Ding & Kay Giesecke & Pascal I. Tomecek, 2009. "Time-Changed Birth Processes and Multiname Credit Derivatives," Operations Research, INFORMS, vol. 57(4), pages 990-1005, August.
  37. 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.
  38. Küchler, Uwe & Tappe, Stefan, 2014. "Exponential stock models driven by tempered stable processes," Journal of Econometrics, Elsevier, vol. 181(1), pages 53-63.
  39. 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.
  40. Leif Andersen & Alexander Lipton, 2013. "Asymptotics For Exponential Lévy Processes And Their Volatility Smile: Survey And New Results," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(01), pages 1-98.
  41. Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
  42. Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren, 2012. "Extension of stochastic volatility equity models with the Hull--White interest rate process," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 89-105, July.
  43. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
  44. Eduardo Abi Jaber & Soukaina Bruneau & Nathan De Carvalho & Dimitri Sotnikov & Laurent Tur, 2025. "Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration," Papers 2501.05975, arXiv.org.
  45. Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  46. Michele Azzone & Roberto Baviera, 2019. "Additive normal tempered stable processes for equity derivatives and power law scaling," Papers 1909.07139, arXiv.org, revised Jan 2022.
  47. Samuel Drapeau & Yunbo Zhang, 2019. "Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model," Papers 1910.08344, arXiv.org, revised May 2020.
  48. Stefano Pagliarani & Andrea Pascucci, 2013. "Local Stochastic Volatility With Jumps: Analytical Approximations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1-35.
  49. Martijn Pistorius & Johannes Stolte, 2012. "Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations," Papers 1203.6899, arXiv.org.
  50. Gerald H. L. Cheang & Len Patrick Dominic M. Garces, 2020. "Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics," Papers 2002.10202, arXiv.org.
  51. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  52. Sung Ik Kim & Young Shin Kim, 2018. "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, vol. 21(1), pages 119-148, April.
  53. Orzechowski Arkadiusz, 2018. "Pricing Correlation Options: from the P. Carr And D. Madan Approach to the New Method Based on the Fourier Transform," Economics and Business Review, Sciendo, vol. 4(1), pages 16-28, April.
  54. repec:uts:finphd:41 is not listed on IDEAS
  55. Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
  56. Dong-Mei Zhu & Jiejun Lu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 555-586, February.
  57. 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.
  58. Giacomo Bormetti & Valentina Cazzola & Danilo Delpini, 2009. "Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model," Papers 0905.1882, arXiv.org, revised May 2010.
  59. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
  60. Evis Këllezi & Nick Webber, 2004. "Valuing Bermudan options when asset returns are Levy processes," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 87-100.
  61. Matthew Lorig & Oriol Lozano-Carbass'e, 2012. "Exponential L\'evy-type models with stochastic volatility and stochastic jump-intensity," Papers 1205.2398, arXiv.org, revised Jul 2013.
  62. Askari, Hossein & Krichene, Noureddine, 2008. "Oil price dynamics (2002-2006)," Energy Economics, Elsevier, vol. 30(5), pages 2134-2153, September.
  63. Muroi, Yoshifumi & Suda, Shintaro, 2022. "Binomial tree method for option pricing: Discrete cosine transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 312-331.
  64. Antoine Jacquier & Matthew Lorig, 2012. "The Smile of certain L\'evy-type Models," Papers 1207.1630, arXiv.org, revised Apr 2013.
  65. Eduardo Abi Jaber & Louis-Amand G'erard, 2024. "Signature volatility models: pricing and hedging with Fourier," Papers 2402.01820, arXiv.org.
  66. Artur Sepp, 2012. "An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1119-1141, May.
  67. Fajardo, José, 2015. "Barrier style contracts under Lévy processes: An alternative approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 179-187.
  68. Giacomo Bormetti & Valentina Cazzola & Guido Montagna & Oreste Nicrosini, 2008. "Probability distribution of returns in the exponential Ornstein-Uhlenbeck model," Papers 0805.0540, arXiv.org, revised Oct 2008.
  69. Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, December.
  70. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.
  71. Gareth G. Haslip & Vladimir K. Kaishev, 2014. "Lookback option pricing using the Fourier transform B-spline method," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 789-803, May.
  72. John Crosby, 2008. "Pricing a class of exotic commodity options in a multi-factor jump-diffusion model," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 471-483.
  73. Leif Andersen & Alexander Lipton, 2012. "Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results," Papers 1206.6787, arXiv.org.
  74. Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.
  75. 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.
  76. Svetlana Boyarchenko & Sergei Levendorskiv{i}, 2024. "Correct implied volatility shapes and reliable pricing in the rough Heston model," Papers 2412.16067, arXiv.org.
  77. Mr. Noureddine Krichene, 2005. "Subordinated Levy Processes and Applications to Crude Oil Options," IMF Working Papers 2005/174, International Monetary Fund.
  78. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
  79. Feng, Chengxiao & Tan, Jie & Jiang, Zhenyu & Chen, Shuang, 2020. "A generalized European option pricing model with risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
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