Chapter 12 Jump-Diffusion Processes Abstract This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump pro...
Option Pricing and lookback options for general jump-diffusion pro- if the risk-neutral return also has a power-type right cesses, it is crucial to study the first passage time of tail, then the call option price is also infinite: a to a flat When a jump-diffusion process a boundary....
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes The fair price of a financial option on an asset that follows a Poisson jump diffusion process satisfies a partial integro-differential equation. When nume... P Carr,A Mayo - 《European Journal of Finance》 被引量: 78发...
3) jump-diffusion process 跳跃-扩散过程 1. Provided that stock price process is a jump-diffusion process,the rate of return and the volatility are functions of time,the pricing formula of exponential European jump option can be obtained with the principle of equivalent martingale measure. 假定...
process.•Two-stage modeling because of observed jumps in the data - firstly the jump process is modeled, afterwards the jump diffusion process itself.•For prediction of the jump diffusion, the uncertainty of the parameters as well as the uncertainty of the latent Poisson process are included...
With the help of a set of model comparison criterion (such as DIC), results show that a diffusion process plus a jump term with state-dependent jump intensity is the preferred model for 2006-2007 and 2011-2012 data while the model with constant jump intensity provides a better fit for the...
网络释义 1. 跳扩散过程 跳过程,jump... ... ) jump process 跳跃过程 )jump-diffusion process跳扩散过程) jump process 跳过程 ... www.dictall.com|基于5个网页 2. 跳跃-扩散过程 ... 随机微分方程: jump diffusion process跳跃-扩散过程:Jump-diffusion process跳跃——扩散过程: jump-diffusion proces...
fluctuating interval of stock price where the jump take place,so we can find the jump point easily.After that,we classify the stock prices according to the jump point,and every class is seen as a sample from the population,then we can estimate all the parameters of the jump-diffusion ...
Introduction to Merton Jump Diffusion Model Kazuhisa Matsuda Department of Economics The Graduate Center, The City University of New York, 365 Fifth Avenue, New York, NY 10016-4309 Email: maxmatsuda@maxmatsuda.comhttp://www.maxmatsuda.com/ December 2004 Abstract This paper presents everything you...
1)jump-diffusion process跳扩散过程 1.Option pricing by the martingale measure method considering the price of stock dividends payment and a jump-diffusion process;支付红利股票的跳扩散过程下期权定价的鞅方法 2.By changing basic assumption of Merton option pricing model to the assumption that jump proc...