Pricing Bermudan Options Under Merton Jump-Diffusion Asset Dynamics

SSRN Electronic Journal ◽

10.2139/ssrn.2557958 ◽

2015 ◽

Cited By ~ 1

Author(s):

Fei Cong ◽

Cornelis W. Oosterlee

Keyword(s):

Jump Diffusion ◽

Bermudan Options

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Pricing Bermudan options under Merton jump-diffusion asset dynamics

International Journal of Computer Mathematics ◽

10.1080/00207160.2015.1070838 ◽

2015 ◽

Vol 92 (12) ◽

pp. 2406-2432 ◽

Cited By ~ 10

Author(s):

F. Cong ◽

C.W. Oosterlee

Keyword(s):

Jump Diffusion ◽

Bermudan Options

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A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin process

Journal of Futures Markets ◽

10.1002/fut.21911 ◽

2018 ◽

Vol 38 (8) ◽

pp. 898-924

Author(s):

San-Lin Chung ◽

Jr-Yan Wang

Keyword(s):

Jump Diffusion ◽

Iteration Algorithm ◽

Simple Iteration ◽

Bermudan Options

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Optimal investment and reinsurance strategies under jump-diffusion process

Modern Engineering Solutions for the Industry (Set) ◽

10.2495/mesi140451 ◽

2014 ◽

Author(s):

Suoping Li ◽

Jinliang Fan ◽

Xinxin Jiang

Keyword(s):

Diffusion Process ◽

Optimal Investment ◽

Jump Diffusion ◽

Jump Diffusion Process

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The Pricing of Vulnerable Options Under Jump-Diffusion Model

Acta Analysis Functionalis Applicata ◽

10.3724/sp.j.1160.2013.00204 ◽

2013 ◽

Vol 15 (3) ◽

pp. 204

Author(s):

Chixiang CHEN ◽

Biyi SHEN ◽

Guangyu YANG

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Vulnerable Options

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MCMC estimation of a multi-factor jump diffusion model for power prices

The Journal of Energy Markets ◽

10.21314/jem.2008.016 ◽

2008 ◽

Vol 1 (4) ◽

pp. 65-90 ◽

Cited By ~ 3

Author(s):

Rikard Green ◽

Marcus Nossman

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Mcmc Estimation ◽

Jump Diffusion Model

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

The Journal of Risk ◽

10.21314/jor.2007.154 ◽

2007 ◽

Vol 10 (1) ◽

pp. 85-100 ◽

Cited By ~ 4

Author(s):

Farid AitSahlia ◽

Andreas Runnemo

Keyword(s):

Diffusion Model ◽

Optimal Stopping ◽

American Options ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Double Exponential ◽

Jump Diffusion Model

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Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1107646 ◽

2008 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Explicit Method

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A Jump-Diffusion Nominal Short Rate Model

SSRN Electronic Journal ◽

10.2139/ssrn.1282220 ◽

2010 ◽

Author(s):

Sami Attaoui ◽

Pierre Six

Keyword(s):

Jump Diffusion ◽

Rate Model

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Real Options Under Jump Diffusion Processes: What Types of Jumps?

SSRN Electronic Journal ◽

10.2139/ssrn.1361576 ◽

2009 ◽

Author(s):

Xianfeng Jiang ◽

Yongdong Shi ◽

George J. Jiang

Keyword(s):

Real Options ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

SSRN Electronic Journal ◽

10.2139/ssrn.2022909 ◽

2012 ◽

Author(s):

Paulo Rodrigues ◽

Norman Seeger ◽

Roman Frey

Keyword(s):

Financial Crisis ◽

Jump Diffusion ◽

Diffusion Models ◽

Out Of Sample ◽

Good For ◽

Equity Indices

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