Pricing competitiveness of jump-diffusion option pricing models: evidence from recent financial upheavals

Author：  

Publisher： Emerald Group Publishing Ltd

E-ISSN： 1755-6791|32|3|357-378

ISSN： 1086-7376

Source： Studies in Economics and Finance, Vol.32, Iss.3, 2015-08, pp. : 357-378

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pricing a class of exotic commodity options in a multi-factor jump-diffusion model

By Crosby John  

Quantitative Finance, Vol. 8, Iss. 5, 2008-08 ,pp. : 471-483

Routledge Ltd

Access to resources Recommend Favorite

A jump-diffusion model for pricing corporate debt securities in a complex capital structure

By Kijima M.   Suzuki T.  

Quantitative Finance, Vol. 1, Iss. 6, 2001-06 ,pp. : 611-620

Routledge Ltd

Access to resources Recommend Favorite

A forward started jump-diffusion model and pricing of cliquet style exotics

By Drimus Gabriel  

Review of Derivatives Research, Vol. 13, Iss. 2, 2010-07 ,pp. : 125-140

Springer Publishing Company

Access to resources Recommend Favorite

Do affine jump-diffusion models require global calibration? Empirical studies from option markets

By Yang Seungho   Lee Jaewook  

Quantitative Finance, Vol. 14, Iss. 1, 2014-01 ,pp. : 111-123

Routledge Ltd

Access to resources Recommend Favorite

Option pricing for jump diffussion model with random volatility

By Thavaneswaran A.   Singh Jagbir  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 11, Iss. 5, 2010-11 ,pp. : 496-507

Emerald Group Publishing Ltd

Access to resources Recommend Favorite