Refined wing asymptotics for the Merton and Kou jump diffusion models
نویسندگان
چکیده
منابع مشابه
Introduction to Merton Jump Diffusion Model
This paper presents everything you need to know about Merton jump diffusion (we call it MJD) model. MJD model is one of the first beyond Black-Scholes model in the sense that it tries to capture the negative skewness and excess kurtosis of the log stock price density ( ) 0 ln( / ) T S S P by a simple addition of a compound Possion jump process. Introduction of this jump process adds three extra...
متن کاملA New Spectral Element Method for Pricing European Options Under the Black-Scholes and Merton Jump Diffusion Models
We present a new spectral element method for solving partial integro-differential equations for pricing European options under the Black–Scholes and Merton jump diffusion models. Our main contributions are: (i) using an optimal set of orthogonal polynomial bases to yield banded linear systems and to achieve spectral accuracy; (ii) using Laguerre functions for the approximations on the semi-infi...
متن کاملOption Pricing on Commodity Prices Using Jump Diffusion Models
In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
متن کاملRefined Long-time Asymptotics for Some Polymeric Fluid Flow Models
We consider a polymeric fluid model, consisting of the incompressible Navier-Stokes equations coupled to a non-symmetric Fokker-Planck equation. First, steady states and exponential convergence to them in relative entropy are proved for the linear Fokker-Planck equation in the Hookean case. The FENE model is also addressed proving the existence of stationary states and the convergence towards t...
متن کاملCurrency Derivatives Pricing for Markov-Modulated Merton Jump-Diffusion Spot Forex Rate
We derive results similar to Bo et al. (2010), but in the case of dynamics of the FX rate driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform parameters which ensure that the martingale condition for the discounted foreign exchange rate is a martingale for a general Merton jump-diffusion process are derived; usin...
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: Banach Center Publications
سال: 2015
ISSN: 0137-6934,1730-6299
DOI: 10.4064/bc104-0-4