论文信息 - Algorithms: Fear of jumps - 字舞流文

Algorithms: Fear of jumps

[1] P. Brémaud. The Martingale Theory of Point Processes Over the Real Half Line Admitting an Intensity , 1975 .

[2] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .

[3] Avi Bick,et al. On the Consistency of the Black-Scholes Model with a General Equilibrium Framework , 1987, Journal of Financial and Quantitative Analysis.

[4] Vasant Naik,et al. General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns , 1990 .

[5] David S. Bates. The Crash of ʼ87: Was It Expected? The Evidence from Options Markets , 1991 .

[6] Robert J. Elliott,et al. DISCONTINUOUS ASSET PRICES AND NON-ATTAINABLE CONTINGENT CLAIMS , 1993 .

[7] D. Madan,et al. Spanning and Derivative-Security Valuation , 2000 .

[8] P. Carr,et al. Option valuation using the fast Fourier transform , 1999 .

[9] Steven G. Kou,et al. A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractability , 2000, Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520).

[10] Alan L. Lewis. A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes , 2001 .