Option Pricing Under a Double Exponential Jump Diffusion Model

By Steven Kou, Hui Wang. Management Sciences, 2004

673 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/377a3ac1f8efdfe330417cbada175a045247940f

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Citations in the corpus

VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (2009, neutral): “For the study of the pricing problem for continuously monitored double barrier options in the double-exponential jumpdiffusion model and the relevant background, we refer the reader to Kou (2002), Kou and Wang (2003, 2004), Lipton (2002a,b), Sepp (2004), and Boyarchenko (2006).”
Numerical valuation of options with jumps in the underlying (2005, methodology): “Numerical results showing the quadratic convergenc methods are given for Merton’s model and Kou’s model.”
Optimal stopping of Hunt and Lévy processes (2006, background): “McKean [13], Gerber and Shiu [9], Chan [4] and Kou and Wang [10].”
Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation (2005, background): “In the double-exponential jump-diffusion model of Kou [32, 33], the asset price follows a geometric Brownian motion between jumps, which occur at event times of a Poisson process.”
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (2010, neutral): “Kou and Wang ( 2003 , 2004 ) and Sepp ( 2004 ) price various types of barrier options within the Kou ( 2002 ) double exponential jump-diffusion (henceforth DEJD) model.”
First passage times of a jump diffusion process (2003, background): “The details of its finance applications, being too long to be included here, are reported in [19].”
Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes (2014, background): “Similar cases were also pointed out in Merton (1976) and Kou and Wang (2004).”
Stochastic Volatility for Lévy Processes (2003, neutral): “In particular, asset returns have been modeled as diffusions with stochastic volatility (e.g., Heston 1993; Hull and White 1987), as jump-diffusions (e.g., Kou and Wang 2001; Merton 1976), or as both (e.g., Bates 1996, 2000; Duffie, Pan, and Singleton 2000).”
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms (2005, methodology): “Kou and Wang (2004) show that, under̃P, X(T ) still has a double exponential distribution as in (1), with drift r − δ + 12σ2 − λζ and jump parameters λ̃ = λ(ζ + 1), p̃ = pη1 (ζ + 1)(η1 − 1), η̃1 = η1 − 1, η̃2 = η2 + 1.”