Risk Premiums in a Multi-Factor Jump-Diffusion Model for the Joint Dynamics of Equity Options and Their Underlying

2014 ◽  
Author(s):  
Robert Huitema ◽  
Bas Peeters
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Equity Options ◽  
Risk Premiums ◽  
Joint Dynamics ◽  
Jump Diffusion Model

Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps

2018 ◽  
Vol 24 ◽  
pp. 113-128 ◽  
Author(s):  
Siti Maghfirotul Ulyah ◽  
Xenos Chang-Shuo Lin ◽  
Daniel Wei-Chung Miao
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Equity Options ◽  
Jump Diffusion Model
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