Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
From MaRDI portal
Publication:2319098
DOI10.1155/2013/780542zbMath1420.91477OpenAlexW1965173794WikidataQ58917434 ScholiaQ58917434MaRDI QIDQ2319098
Wenli Zhu, Jiexiang Huang, Shuang Li, Xinfeng Ruan
Publication date: 16 August 2019
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/780542
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
- The market for crash risk
- Minimal entropy martingale measures of jump type price processes in incomplete assets markets
- Arbitrage pricing of contingent claims
- Pricing contingent claims on stocks driven by Lévy processes
- Actuarial bridges to dynamic hedging and option pricing
- Pricing options on realized variance
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- An Intertemporal General Equilibrium Model of Asset Prices
- Asset Prices in an Exchange Economy
- A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Financial Modelling with Jump Processes
- EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION
- Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- Utility maximization in incomplete markets with random endowment
