Option Pricing For Jump Diffusions: Approximations and Their Interpretation

DOI10.1111/j.1467-9965.1993.tb00087.xzbMath0884.90043OpenAlexW2087008919MaRDI QIDQ4372009

Wolfgang J. Runggaldier, Fabio Mercurio

Publication date: 21 January 1998

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00087.x

zbMATH Keywords

approximationsjump-diffusion modeljump-diffusion modelsdiscrete-time modelsEuropean call optionEuropean contingent claimscomputable approximationmean self-financing and risk-minimizing strategies

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (9)

An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps ⋮ An approximation of American option prices in a jump-diffusion model ⋮ Portfolio selection with jumps under regime switching ⋮ Long-term behavior of stochastic interest rate models with jumps and memory ⋮ Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model ⋮ Pricing Cliquet Options in Jump-Diffusion Models ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps ⋮ Completeness of securities market models -- an operator point of view ⋮ Stability for multidimensional jump-diffusion processes

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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