Feller Property for a Special Hybrid Jump-Diffusion Model
نویسندگان
چکیده
منابع مشابه
Regime-switching diffusion processes: strong solutions and strong Feller property
We investigate the existence and uniqueness of strong solutions up to an explosion time for regime-switching diffusion processes in an infinite state space. Instead of concrete conditions on coefficients, our existence and uniqueness result is established under the general assumption that the diffusion in every fixed environment has a unique non-explosive strong solution. Moreover, non-explosio...
متن کاملA no-crossing property for jump-diffusion processes
This paper studies monotonicity and convexity properties of option prices in jump-diffusion models. In such models it is possible for a monotone contract function to give rise to an option price which is non-monotone in the underlying asset. This is connected to the fact that the no-crossing property, which holds for one-dimensional diffusions, may fail in the presence of jumps. We present a si...
متن کاملA 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 distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called...
متن کاملA Hybrid Importance Sampling Algorithm for Estimating VaR under the Jump Diffusion Model
Value at Risk (VaR) is an important tool for estimating the risk of a financial portfolio under significant loss. Although Monte Carlo simulation is a powerful tool for estimating VaR, it is quite inefficient since the event of significant loss is usually rare. Previous studies suggest that the performance of the Monte Carlo simulation can be improved by importance sampling if the market return...
متن کاملClosed formulas for the price and sensitivities of European options under a double exponential jump diffusion model
We derive closed formulas for the prices of European options andtheir sensitivities when the underlying asset follows a double-exponentialjump diffusion model, as considered by S. Kou in 2002. This author hasderived the option price by making use of double series where each termrequires the computation of a sequence of special functions, such thatthe implementation remains difficult for a large...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Abstract and Applied Analysis
سال: 2014
ISSN: 1085-3375,1687-0409
DOI: 10.1155/2014/412848