Cliquet Option Pricing in a Jump-Diffusion Lévy Model

Modern Stochastics: Theory and Applications - Lithuania
doi 10.15559/18-vmsta107
Full Text
Abstract

Available in full text

Date
Authors
Publisher

VTeX

Related search

Option Pricing Under a Double Exponential Jump Diffusion Model

SSRN Electronic Journal
2001English

Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance
2011English

Numerical Methods for Discrete Double Barrier Option Pricing Based on Merton Jump Diffusion Model

Open Journal of Statistics
2017English

American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion Models

Proceedings of the American Control Conference
Electronic EngineeringElectrical
2007English

Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model

Springer Proceedings in Mathematics and Statistics
Mathematics
2016English

An Empirical Study on Asymmetric Jump Diffusion for Option and Annuity Pricing

PLoS ONE
Multidisciplinary
2019English

Bounds for Perpetual American Option Prices in a Jump Diffusion Model

Journal of Applied Probability
MathematicsStatisticsUncertaintyProbability
2006English

Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model

Journal of Applied Probability
MathematicsStatisticsUncertaintyProbability
2011English

Α-Quantile Option in a Jump-Diffusion Economy

Applied Optimization
2002English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy