19 search results - page 1 / 4 » Pricing Options in Jump-Diffusion Models: An Extrapolation A... |
66
Voted
IOR
2008
14 years 11 months ago
2008
WSC
2004
15 years 9 days ago
2004
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...
98
Voted
SIAMSC
2008
14 years 11 months ago
2008
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...
97
Voted
IOR
2006
14 years 11 months ago
2006
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...
76
Voted
WSC
2001
15 years 9 days ago
2001
This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...