Option Pricing When Jump Risk Is Systematic1

DOI10.1111/j.1467-9965.1992.tb00034.xzbMath0900.90099OpenAlexW2140712893MaRDI QIDQ4345937

Chang Mo Ahn

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1992.tb00034.x

zbMATH Keywords

Merton jump-diffusion option pricing model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Heterogeneous information arrival and option pricing ⋮ Modeling and Computation of CO₂Allowance Derivatives Under Jump-Diffusion Processes ⋮ Dynamic asset pricing theory with uncertain time-horizon ⋮ APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES

Cites Work

• The Pricing of Options and Corporate Liabilities
• Asset pricing for general processes
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• Option pricing when underlying stock returns are discontinuous
• Unnamed Item
• Unnamed Item