Calculation of Volatility in a Jump-Diffusion Model PDF Download
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Author: Javier F. Navas
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
A common way to incorporate discontinuities in asset returns is to add a Poisson process to a Brownian motion. The jump-diffusion process provides probability distributions that typically fit market data better than those of the simple diffusion process. To compare the performance of these models in option pricing, the total volatility of the jump-diffusion process must be used in the Black-Scholes formula. A number of authors, including Merton (1976a amp; b), Ball and Torous (1985), Jorion (1988), and Amin (1993), miscalculate this volatility because they do not include the effect of uncertainty over the jump size. We calculate the volatility correctly and show how this affects option prices.
Author: Javier F. Navas
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
A common way to incorporate discontinuities in asset returns is to add a Poisson process to a Brownian motion. The jump-diffusion process provides probability distributions that typically fit market data better than those of the simple diffusion process. To compare the performance of these models in option pricing, the total volatility of the jump-diffusion process must be used in the Black-Scholes formula. A number of authors, including Merton (1976a amp; b), Ball and Torous (1985), Jorion (1988), and Amin (1993), miscalculate this volatility because they do not include the effect of uncertainty over the jump size. We calculate the volatility correctly and show how this affects option prices.
Author: Changhong He
Publisher:
ISBN:
Category :
Languages : en
Pages : 312
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Book Description
Author: Elisa Alós
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Peter Tankov
Publisher: CRC Press
ISBN: 1135437947
Category : Business & Economics
Languages : en
Pages : 552
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Book Description
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author: Bernt Øksendal
Publisher: Springer Science & Business Media
ISBN: 3540698264
Category : Mathematics
Languages : en
Pages : 263
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Book Description
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author: Maria Semenova
Publisher:
ISBN:
Category :
Languages : en
Pages : 135
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Author: Alexey Medvedev
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
Author: Cheng-Few Lee
Publisher: Springer Science & Business Media
ISBN: 0387262849
Category : Business & Economics
Languages : en
Pages : 861
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Book Description
This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Author: Mthuli Ncube
Publisher:
ISBN: 9783659241192
Category :
Languages : en
Pages : 124
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Book Description
Author: Wei Wei
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
