First passage times and option pricing under a mixed-exponential jump diffusion model (abstract only)
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Option Pricing Under a Mixed-Exponential Jump Diffusion Model
This paper aims to extend the analytical tractability of the Black--Scholes model to alternative models with arbitrary jump size distributions. More precisely, we propose a jump diffusion model for asset prices whose jump sizes have a mixed-exponential ...
A Jump-Diffusion Model for Option Pricing
Brownian motion and normal distribution have been widely used in the Black--Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return ...
Option pricing under regime-switching jump-diffusion models
We present an explicit formula and a multinomial approach for pricing contingent claims under a regime-switching jump-diffusion model. The explicit formula, obtained as an expectation of Merton-type formulae for jump-diffusion processes, allows to ...
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![cover image ACM SIGMETRICS Performance Evaluation Review](/cms/asset/628b56ae-ac0b-4673-8120-c84d4cebfc2a/2185395.cover.jpg)
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Association for Computing Machinery
New York, NY, United States
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