scholarly journals Option pricing model based on a Markov-modulated diffusion with jumps

2010 ◽  
Vol 24 (2) ◽  
pp. 413-431 ◽  
Author(s):  
Nikita Ratanov
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
Model Based ◽  
Option Pricing Model ◽  
Markov Modulated ◽  
Diffusion With Jumps

An Option Pricing Model Based on a Renewable Energy Price Index

Energy ◽  
2021 ◽  
pp. 122117
Author(s):  
Jian XUE ◽  
Jing DING ◽  
Laijun ZHAO ◽  
Di ZHU ◽  
Lei LI
Keyword(s):  
Renewable Energy ◽  
Option Pricing ◽  
Price Index ◽  
Energy Price ◽  
Pricing Model ◽  
Model Based ◽  
Option Pricing Model

Air pollution option pricing model based on AQI

2019 ◽  
Vol 10 (3) ◽  
pp. 665-674 ◽  
Author(s):  
Jian Xue ◽  
Yan Xu ◽  
Laijun Zhao ◽  
Chenchen Wang ◽  
Zeeshan Rasool ◽  
...  
Keyword(s):  
Air Pollution ◽  
Option Pricing ◽  
Pricing Model ◽  
Model Based ◽  
Option Pricing Model

scholarly journals A fuzzy jump-diffusion option pricing model based on Merton formula

2021 ◽  
Author(s):  
Satrajit Mandal ◽  
Sujoy Bhattacharya
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Search Algorithm ◽  
Option Price ◽  
Jump Diffusion ◽  
Call Option ◽  
Pricing Model ◽  
Model Based ◽  
Option Pricing Model ◽  
Jump Diffusion Model

Abstract This paper proposes a fuzzy jump-diffusion option pricing model based on Merton's normal jump-diffusion price dynamics. The logarithm of the stock price is assumed to be a Gaussian fuzzy number and the diffusion and jump parameters of the Merton model are assumed to be triangular fuzzy numbers to model the impreciseness which occur due to the variation in financial markets. Using these assumptions, a fuzzy formula for a European call option has been proposed. Given any value of the option price, its belief degree is obtained by using the bisection search algorithm. The fuzzy call option prices have been defuzzified and it has been found that the fuzzy jump-diffusion model outperforms Wu's fuzzy Black- Scholes model. This is one of the first studies where the impreciseness of the stock price and input parameters has been modelled taking into account occasional large jumps in stock price trajectory and thereby proposing a fuzzy option pricing model.

scholarly journals An option pricing model based on jump telegraph processes

PAMM ◽  
2007 ◽  
Vol 7 (1) ◽  
pp. 2080009-2080010
Author(s):  
Nikita Ratanov
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
Model Based ◽  
Option Pricing Model

An Option Pricing Model Based on Hydrogen Energy

2021 ◽  
Author(s):  
Jian XUE ◽  
ying sun ◽  
Laijun ZHAO ◽  
Lei LI
Keyword(s):  
Option Pricing ◽  
Hydrogen Energy ◽  
Pricing Model ◽  
Model Based ◽  
Option Pricing Model
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