Calibration and hedging under jump diffusion
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Publication:375525
DOI10.1007/s11147-006-9003-1zbMath1274.91414OpenAlexW2112293901MaRDI QIDQ375525
Publication date: 31 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-006-9003-1
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Uses Software
Cites Work
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Estimation of dependences based on empirical data. Transl. from the Russian by Samuel Kotz
- A penalty method for American options with jump diffusion processes
- Post-'87 crash fears in the S\&P 500 futures option market
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Robust numerical methods for contingent claims under jump diffusion processes
- Financial Modelling with Jump Processes
- An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
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