Option Pricing with Threshold Diffusion Processes

DOI10.1080/10920277.2015.1106953zbMath1414.91390OpenAlexW2274974217MaRDI QIDQ5379177

Fei Su, Kung-Sik Chan

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2015.1106953

zbMATH Keywords

option pricingthreshold diffusion asset pricing

Mathematics Subject Classification ID

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

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A self-exciting threshold jump-diffusion model for option valuation ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ Pricing European vanilla options under a jump-to-default threshold diffusion model ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

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