Option pricing under jump-diffusion models with mean-reverting bivariate jumps

DOI10.1016/j.orl.2013.11.004zbMath1408.91222OpenAlexW2069190899MaRDI QIDQ1667167

Wan-Ling Chao, Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin

Publication date: 27 August 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2013.11.004

zbMATH Keywords

jump-diffusion modelsoptions pricingmean-revertingbivariate jumpsdiscrete Ornstein-Uhlenbeck processimplied volatility smiles

Mathematics Subject Classification ID

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

Related Items (2)

A discontinuous mispricing model under asymmetric information ⋮ Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields

Cites Work

• A Jump-Diffusion Model for Option Pricing
• The surprise element: Jumps in interest rates.
• Analytical Valuation of American Options on Jump‐Diffusion Processes
• Analysis of the Discrete Ornstein-Uhlenbeck Process Caused by the Tick Size Effect
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Option pricing under jump-diffusion models with mean-reverting bivariate jumps