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Pricing American Options with Jumps in Asset and Volatility
Language: en
Pages:
Authors: Blessing Taruvinga
Categories:
Type: BOOK - Published: 2019 - Publisher:

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The Impact of Jumps on American Option Pricing
Language: en
Pages: 49
Authors: Boda Kang
Categories:
Type: BOOK - Published: 2019 - Publisher:

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This paper analyzes the importance of asset and volatility jumps in American option pricing models. Using the Heston (1993) stochastic volatility model with ass
American Options Under Stochastic Volatility
Language: en
Pages: 30
Authors: Arun Chockalingam
Categories:
Type: BOOK - Published: 2012 - Publisher:

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The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world d
American Option Pricing in a Jump-Diffusion Model
Language: en
Pages: 60
Authors: Jeremy Berros
Categories:
Type: BOOK - Published: 2010-09 - Publisher: LAP Lambert Academic Publishing

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Many alternative models have been developed lately to generalize the Black-Scholes option pricing model in order to incorporate more empirical features. Brownia
Mathematical Modeling and Analysis of Options with Jump-diffusion Volatility
Language: en
Pages:
Authors: Irena Andreevska
Categories:
Type: BOOK - Published: 2008 - Publisher:

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ABSTRACT: Several existing pricing models of financial derivatives as well as the effects of volatility risk are analyzed. A new option pricing model is propose