A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework

DOI10.1007/s11424-010-7205-yzbMath1208.91144OpenAlexW1537105505MaRDI QIDQ625671

Guohe Deng, Li-Hong Huang

Publication date: 25 February 2011

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-7205-y

zbMATH Keywords

stochastic interest ratejump-diffusion modelextremum options

Mathematics Subject Classification ID

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

Cites Work

• Options on the minimum or the maximum of two average prices
• A class of jump-diffusion bond pricing models within the HJM framework
• Pricing options on securities with discontinuous returns
• The surprise element: Jumps in interest rates.
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• Bond Market Structure in the Presence of Marked Point Processes
• The European options hedge perfectly in a Poisson-Gaussian stock market model
• Changes of numéraire, changes of probability measure and option pricing
• Option pricing when underlying stock returns are discontinuous

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