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Exotic derivatives under stochastic volatility models with jumps
Double-barrier options volatility surface volatility derivatives forward starting options
2010/11/3
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass...
On perpetual American put valuation and first-passage in a regime-switching model with jumps
perpetual American valuation first-passage regime-switching model jumps
2010/12/17
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy model. For the case of the (dense) class of phase-type jumps and finitely ...
Stock price jumps: news and volume play a minor role
Stock price jumps news volume play minor role
2010/12/17
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wid...
MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps
Risk Aversion MV Analysis temporal efficient frontier
2011/4/6
This paper studies sequential portfolio choices by MPS-risk-averse investors in a continuous time jump-diffusion framework. It is shown that the optimal trading strategies for MPS risk averse investor...
Disentangling diffusion from jumps
Poisson jumps Cauchy jumps Levy process Diffusion Maximum likelihood
2014/3/13
Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to dist...