Implied Calibration and Moments Asymptotics in Stochastic Volatility Jump Diffusion Models

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 time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

Communications in Nonlinear Science and Numerical Simulation ◽

10.1016/j.cnsns.2019.105159 ◽

2020 ◽

Vol 84 ◽

pp. 105159

Author(s):

Claude Rodrigue Bambe Moutsinga ◽

Edson Pindza ◽

Eben Maré

Keyword(s):

Stochastic Volatility ◽

Spectral Method ◽

Jump Diffusion ◽

Diffusion Models

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Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

The European Physical Journal B ◽

10.1140/epjb/e2010-00109-3 ◽

2010 ◽

Vol 75 (3) ◽

pp. 335-342 ◽

Cited By ~ 7

Author(s):

L. Z.J. Liang ◽

D. Lemmens ◽

J. Tempere

Keyword(s):

Stochastic Volatility ◽

Jump Diffusion ◽

Diffusion Models ◽

Vasicek Model

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Reduced order models for pricing European and American options under stochastic volatility and jump-diffusion models

Journal of Computational Science ◽

10.1016/j.jocs.2017.01.004 ◽

2017 ◽

Vol 20 ◽

pp. 198-204 ◽

Cited By ~ 9

Author(s):

Maciej Balajewicz ◽

Jari Toivanen

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Reduced Order Models ◽

Reduced Order

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Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models

Mathematics of Operations Research ◽

10.1287/moor.2017.0925 ◽

2018 ◽

Cited By ~ 1

Author(s):

Kenichiro Shiraya ◽

Akihiko Takahashi

Keyword(s):

Stochastic Volatility ◽

Jump Diffusion ◽

Diffusion Models ◽

Spread Options

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Optimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion Models with Jump-Bankruptcy Condition: Practical Theory

SSRN Electronic Journal ◽

10.2139/ssrn.1080504 ◽

2008 ◽

Author(s):

Floyd B. Hanson

Keyword(s):

Stochastic Volatility ◽

Jump Diffusion ◽

Diffusion Models ◽

Optimal Portfolio ◽

Portfolio Problem

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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

Finance and Stochastics ◽

10.1007/s00780-007-0049-1 ◽

2007 ◽

Vol 11 (4) ◽

pp. 571-589 ◽

Cited By ~ 102

Author(s):

Elisa Alòs ◽

Jorge A. León ◽

Josep Vives

Keyword(s):

Stochastic Volatility ◽

Implied Volatility ◽

Jump Diffusion ◽

Diffusion Models ◽

Time Behavior ◽

Short Time

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American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion Models

2007 American Control Conference ◽

10.1109/acc.2007.4283124 ◽

2007 ◽

Cited By ~ 10

Author(s):

Floyd B. Hanson ◽

Guoqing Yan

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Jump Diffusion ◽

Diffusion Models ◽

American Put Option ◽

Put Option ◽

American Put

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Option Pricing in Jump-Diffusion Models with Stochastic Volatility

2009 International Conference on Management and Service Science ◽

10.1109/icmss.2009.5304459 ◽

2009 ◽

Author(s):

Liugen Wang ◽

Shanshan Ding ◽

Shenghong Li

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Jump Diffusion ◽

Diffusion Models

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Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models

Procedia Computer Science ◽

10.1016/j.procs.2016.05.360 ◽

2016 ◽

Vol 80 ◽

pp. 734-743 ◽

Cited By ~ 3

Author(s):

Maciej Balajewicz ◽

Jari Toivanen

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Reduced Order Models ◽

Reduced Order

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