PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS

DOI10.1111/j.1467-9965.2007.00308.xzbMath1186.91213arXivmath/0509232OpenAlexW2066525300MaRDI QIDQ5427661

Erik Ekström, Johan Tysk

Publication date: 21 November 2007

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

Full work available at URL: https://arxiv.org/abs/math/0509232

zbMATH Keywords

partial integro-differential equationsjump-diffusionspreservation of convexityprice comparisons

Mathematics Subject Classification ID

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

Related Items (10)

BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Perpetual American options with asset-dependent discounting ⋮ Comparison results for stochastic volatility models via coupling ⋮ Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals ⋮ Convexity theory for the term structure equation ⋮ PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS ⋮ Bounds for perpetual American option prices in a jump diffusion model ⋮ Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus ⋮ Skewness premium with Lévy processes

Cites Work

• Unnamed Item
• Volatility misspecification, option pricing and superreplication via coupling
• Incompleteness of markets driven by a mixed diffusion
• Robustness of the Black and Scholes Formula
• Financial Modelling with Jump Processes

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