Pricing turbo warrants under mixed-exponential jump diffusion model

DOI10.1016/j.physa.2015.12.158zbMath1400.91622OpenAlexW3125773493MaRDI QIDQ1619424

Weidong Xu, Jianfeng Yu

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.12.158

zbMATH Keywords

Laplace transformEuler methodexotic optionmixed-exponential jump diffusionturbo warrants

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• On first passage times of a hyper-exponential jump diffusion process
• The Fourier-series method for inverting transforms of probability distributions
• Russian and American put options under exponential phase-type Lévy models.
• High-frequency trading model for a complex trading hierarchy
• Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
• Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model
• Turbo warrants under stochastic volatility
• First passage times of a jump diffusion process
• Financial Modelling with Jump Processes
• Truncated Lévy process with scale-invariant behavior