Option pricing with discrete time jump processes

DOI10.1016/j.jedc.2013.07.003zbMath1402.91785OpenAlexW1530279116MaRDI QIDQ1994170

Dominique Guégan, Florian Ielpo, Hanjarivo Lalaharison

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.07.003

zbMATH Keywords

option pricingminimal entropy martingale measureS\&P 500CAC 40exponential affine stochastic discount factortime jump processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Option valuation with IG-GARCH model and a U-shaped pricing kernel ⋮ The contribution of intraday jumps to forecasting the density of returns ⋮ Extracting market information from equity options with exponential Lévy processes

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