Pricing Currency Options in the Heston / CIR Double Exponential Jump-Diffusion Model

Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates. Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps

The licensor cannot revoke these freedoms as long as you follow the license terms. Please note that corrections may take a couple of weeks to filter through the various RePEc services. Access to full text is restricted to subscribers. We then click on the recalculate button to generate a new path. Chen, Empirical performance of alternative option pricing models, Journal of Finance, 52 We greatly appreciate the generous financial assistance of Francis and Mercy Dzanya throughout the research process. Pricing realized variance options using integrated stochastic variance options in the Heston stochastic volatility model. Download full text from publisher File URL: Market parameters for stock jump-diffusion models. All remaining errors are mine alone. American Economic Review, 60 3— Hull and A. Jump risks and the intertemporal capital asset pricing model. The impact of jumps in volatility and returns. Conclusion This paper develops and tests sufficient conditions for a model when stock returns follow a jump-diffusion process. Under the assumptions, we derives a pricing formula for CatEPut options. An intertemporal CAPM with stochastic volatility.

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Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps

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