A Jump-Diffusion Model for Option Pricing

By Steven Kou. Management Sciences, 2002

2,062 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ce0ca1221350f9494ba52060a01a289080142ee3

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Citations in the corpus

Wavelet Galerkin pricing of American options on Lévy driven assets (2005, neutral): “Another finite activity Lévy process has been proposed by Kou [34] with fKou(x) = p+Mexp (−Mx)χ{x>0}+p−Gexp (Gx)χ{x<0}, p++p− = 1 satisfying (A1)–(A3) for Y = −1.”
First passage times of a jump diffusion process (2003, methodology): “To get analytically tractable models, and to incorporate both the leptokurtic feature and the ‘volatility smile’, the double exponential jump diffusion model is proposed in [18]; see also [12] for pricing of interest rate derivatives under such a model and more background about general jump diffusio”
Nonparametric tests for pathwise properties of semimartingales (2011, background): “jumps to a continuous process driven by Brownian motion [16, 22], while others are based on purely discontinuous processes which move only through jumps [8, 18].”
From local volatility to local Lévy models (2004, neutral): “If we wish to solve ¤A(f ) = g then from equation ( 16 )”
A jump diffusion model for VIX volatility options and futures (2010, methodology): “ðÞ . The option can still be easily priced, using the semi-closed formulae of Kou (2002) .”
Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes (2015, neutral): “To cite this article: Ning Cai, Yingda Song, Steven Kou (2015) A General Framework for Pricing Asian Options Under Markov Processes.”
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.”
Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, positive): “…premium is thus the sum of this jump risk premium and the di¤usion risk premium d, so that we have = d+ Q Q. HH invoke the equilibrium analysis of Kou (2002) to motivate the following transformation from the physical to the risk-neutral measure: Q = E h Z i i , where the risk premium…”
PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (2011, methodology): “We will introduce the jump distributions chosen by Kou (2002) and Merton (1976) next.”
Numerical solution of two asset jump diffusion models for option valuation (2008, methodology): “This “log-price scaling” is convenient for analysis, although numerically our approach works equally well in the original price scaling.”
Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities (2004, methodology): “Glasserman & Kou (2003) use the framework of Björk et al. (1997) to develop a class of interest-rate models with jumps.”
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (2010, positive): “Some related results, in the case of a single upper barrier level and a Kou (2002) DEJD process, can be found in Kou and Wang (2003).”
Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, neutral): “Some important special cases of the TS class include: • The KoBoL (CGMY) model, where c+ = c−, see [64], [89], [23], [25]; • The exponential jump model, where α = −1, see [65], [78]; • The Gamma process, where α = 0 and either c− = 0 or c+ = 0; • The Variance Gamma model, where α = 0, see [82]; • Th”
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009, positive): “PRICING AND HEDGING GAP RISK The client of a CPPI fund may be insured against the gap risk, meaning that if the fund breaks the floor, a third party such as the bank controlling the fund reimburses the loss. In this case, the share of a CPPI fund is a financial product with an optional component. It”
VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (2009, positive): “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).”