Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model
This paper proposes a Laplace-transform-based approach to price the fixed-strike quantile options as well as to calculate the associated hedging parameters (delta and gamma) under a hyperexponential jump diffusion model, which can be viewed as a generalization of the well-known Black–Scholes model and Kou’s double exponential jump diffusion model. By establishing a relationship between floating...
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We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ...
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In this paper we present a Laplace transform-based analytical solution for pricing double-barrier options under a flexible hyper-exponential jump diffusion model (HEM). The major theoretical contribution is that we prove non-singularity of a related high-dimensional matrix, which guarantees the existence and uniqueness of the solution. © 2009 Elsevier B.V. All rights reserved.
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Estimators for options prices with different maturities are constructed on the same trajectories of the underlying asset price process. The weighted sum of their variances (the weighted variance) is chosen as a criterion of minimization. Optimal estimators with minimal weighted variance are pointed out in the case of a jump-diffusion model. The efficiency of the constructed estimators is discus...
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We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model (HEM). Similar results are only available previously in the special case of the Black-Scholes model (BSM). Even in the case of the BSM, our approach is simpler as we essentially use only Itô’s formula and do not need more advanced results such as those of Bessel pr...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2011
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1316796904