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    IOR
    2008
    67views more  IOR 2008»
    Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
    13 years 4 months ago
    Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
    Download  users.iems.northwestern.edu
    Liming Feng, Vadim Linetsky
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    WSC
    2004
    135views Modeling And Simulation» more  WSC 2004»
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
    13 years 5 months ago
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
    Download  www.columbia.edu
    This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
    Mark Broadie, Özgür Kaya
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    SIAMSC
    2008
    143views more  SIAMSC 2008»
    Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
    13 years 4 months ago
    Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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    Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...
    Jari Toivanen
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    IOR
    2006
    192views more  IOR 2006»
    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
    13 years 4 months ago
    Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
    Download  finmath.stanford.edu
    The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
    Mark Broadie, Özgür Kaya
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    WSC
    2001
    109views Modeling And Simulation» more  WSC 2001»
    A new approach to pricing American-style derivatives
    13 years 5 months ago
    A new approach to pricing American-style derivatives
    Download  www.informs-sim.org
    This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...
    Scott B. Laprise, Michael C. Fu, Steven I. Marcus,...
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