Estimation and prediction under local volatility jump-diffusion model

DOI10.1016/J.PHYSA.2017.09.035OpenAlexW2762454022MaRDI QIDQ2148668

Namhyoung Kim, Younhee Lee

Publication date: 24 June 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2017.09.035

zbMATH Keywords

option pricingjump-diffusion modellocal volatility modelKOSPI 200 index option

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Calibration and hedging under jump diffusion
• Stability of an implicit method to evaluate option prices under local volatility with jumps
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Robust numerical methods for contingent claims under jump diffusion processes
• Financial Modelling with Jump Processes
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Do option markets correctly price the probabilities of movement of the underlying asset?

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