METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS

DOI10.1142/S0219024911006644zbMath1229.91304OpenAlexW2158840866MaRDI QIDQ3107935

Bjorn Eriksson, Martijn R. Pistorius

Publication date: 28 December 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006644

zbMATH Keywords

momentslinear programmingpartial barrier optiondouble barrier optionAmerican corridor optionpolynomial jump-diffusion

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

The Jacobi stochastic volatility model ⋮ Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Jacobi stochastic volatility factor for the LIBOR market model ⋮ Bounding Stationary Averages of Polynomial Diffusions via Semidefinite Programming

Cites Work

• Unnamed Item
• Calibration and hedging under jump diffusion
• Pricing and hedging guaranteed annuity options via static option replication.
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
• A multi-factor jump-diffusion model for commodities†
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• Towards logical operations research -- propositional case

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