Robust replication of volatility and hybrid derivatives on jump diffusions

Mathematical Finance ◽

10.1111/mafi.12327 ◽

2021 ◽

Author(s):

Peter Carr ◽

Roger Lee ◽

Matthew Lorig

Keyword(s):

Jump Diffusions

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Asset Pricing with Matrix Jump Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.1274482 ◽

2008 ◽

Cited By ~ 6

Author(s):

Markus Leippold ◽

Fabio Trojani

Keyword(s):

Asset Pricing ◽

Jump Diffusions

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Efficient Parameter Estimation for Multivariate Jump-Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.2926508 ◽

2016 ◽

Cited By ~ 1

Author(s):

Francois Guay ◽

Gustavo Schwenkler

Keyword(s):

Parameter Estimation ◽

Jump Diffusions

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Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3575594 ◽

2020 ◽

Author(s):

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Regime Switching ◽

Asian Option ◽

Stochastic Volatility Models ◽

Jump Diffusions ◽

Volatility Models

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Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options

SSRN Electronic Journal ◽

10.2139/ssrn.567021 ◽

2004 ◽

Cited By ~ 1

Author(s):

Dimitris Flamouris ◽

Daniel Giamouridis

Keyword(s):

Jump Diffusions ◽

Basket Options

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Closed-Form Optimal Investment when Present Values and Costs are Jump-Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.968172 ◽

2006 ◽

Author(s):

Alessandro Sbuelz ◽

Anna Battauz

Keyword(s):

Closed Form ◽

Optimal Investment ◽

Jump Diffusions

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Feynman–Kac for functional jump diffusions with an application to Credit Value Adjustment

Statistics & Probability Letters ◽

10.1016/j.spl.2015.06.007 ◽

2015 ◽

Vol 105 ◽

pp. 120-129 ◽

Cited By ~ 4

Author(s):

E. Kromer ◽

L. Overbeck ◽

J.A.L. Röder

Keyword(s):

Jump Diffusions

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Stochastic Near-Optimal Singular Controls for Jump Diffusions: Necessary and Sufficient Conditions

Journal of Dynamical and Control Systems ◽

10.1007/s10883-013-9191-6 ◽

2013 ◽

Vol 19 (4) ◽

pp. 503-517 ◽

Cited By ~ 11

Author(s):

Mokhtar Hafayed ◽

Syed Abbas

Keyword(s):

Sufficient Conditions ◽

Necessary And Sufficient Conditions ◽

Jump Diffusions ◽

Singular Controls ◽

Necessary And Sufficient

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Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions

SIAM Journal on Control and Optimization ◽

10.1137/16m1082470 ◽

2017 ◽

Vol 55 (6) ◽

pp. 3458-3488 ◽

Cited By ~ 6

Author(s):

Zhen Chao ◽

Kai Wang ◽

Chao Zhu ◽

Yanling Zhu

Keyword(s):

Exponential Stability ◽

Regime Switching ◽

Jump Diffusions ◽

Moment Exponential Stability

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On the LP formulation in measure spaces of optimal control problems for jump-diffusions

Systems & Control Letters ◽

10.1016/j.sysconle.2015.08.008 ◽

2015 ◽

Vol 85 ◽

pp. 33-36 ◽

Cited By ~ 1

Author(s):

Rafael Serrano

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Control Problems ◽

Jump Diffusions ◽

Measure Spaces

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Central limit results for jump diffusions with mean field interaction and a common factor

Stochastic Analysis and Applications ◽

10.1080/07362994.2017.1321489 ◽

2017 ◽

Vol 35 (5) ◽

pp. 767-802 ◽

Cited By ~ 2

Author(s):

Amarjit Budhiraja ◽

Elisabeti Kira ◽

Subhamay Saha

Keyword(s):

Central Limit ◽

Common Factor ◽

Mean Field ◽

Field Interaction ◽

Jump Diffusions

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