Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering
暂无分享,去创建一个
[1] B. Mandlebrot. The Variation of Certain Speculative Prices , 1963 .
[2] Samuel Karlin,et al. A First Course on Stochastic Processes , 1968 .
[3] P. Clark. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices , 1973 .
[4] Robert C. Blattberg,et al. A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices: Reply , 1974 .
[5] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .
[6] S. Ross,et al. The valuation of options for alternative stochastic processes , 1976 .
[7] O. Barndorff-Nielsen. Exponentially decreasing distributions for the logarithm of particle size , 1977, Proceedings of the Royal Society of London. A. Mathematical and Physical Sciences.
[8] M. Rubinstein.. Nonparametric tests of alternative option pricing models using all reported trades and quotes on the , 1985 .
[9] R. Lucas. ASSET PRICES IN AN EXCHANGE ECONOMY , 1978 .
[10] M. Goldman,et al. Path Dependent Options: "Buy at the Low, Sell at the High" , 1979 .
[11] Larry J. Merville,et al. An Empirical Examination of the Black‐Scholes Call Option Pricing Model , 1979 .
[12] G. Barone-Adesi,et al. Efficient Analytic Approximation of American Option Values , 1987 .
[13] Alan G. White,et al. The Pricing of Options on Assets with Stochastic Volatilities , 1987 .
[14] A. Iserles. Numerical recipes in C—the art of scientific computing , by W. H. Press, B. P. Flannery, S. A. Teukolsky and W. T. Vetterling. Pp 735. £27·50. 1988. ISBN 0-521-35465-X (Cambridge University Press) , 1989, The Mathematical Gazette.
[15] F. A. Seiler,et al. Numerical Recipes in C: The Art of Scientific Computing , 1989 .
[16] Vasant Naik,et al. General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns , 1990 .
[17] E. Seneta,et al. The Variance Gamma (V.G.) Model for Share Market Returns , 1990 .
[18] P. Carr,et al. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS , 1992 .
[19] Ward Whitt,et al. The Fourier-series method for inverting transforms of probability distributions , 1992, Queueing Syst. Theory Appl..
[20] William H. Press,et al. The Art of Scientific Computing Second Edition , 1998 .
[21] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[22] M. Yor,et al. BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES , 1993 .
[23] Kaushik I. Amin. Jump Diffusion Option Valuation in Discrete Time , 1993 .
[24] W. Whitt,et al. Multidimensional Transform Inversion with Applications to the Transient M/G/1 Queue , 1994 .
[25] N. L. Johnson,et al. Continuous Univariate Distributions. , 1995 .
[26] Robert F. Engle,et al. ARCH: Selected Readings , 1995 .
[27] M. Taqqu,et al. Stable Non-Gaussian Random Processes : Stochastic Models with Infinite Variance , 1995 .
[28] S. Takenaka. Stable Non-Gaussian Random Processes - Stochastic Models with Infinite Variance - G. Samorodnitsky; M. S. Taqqu. , 1996 .
[29] Sanjiv Ranjan Das,et al. Exact solutions for bond and option prices with systematic jump risk , 1996 .
[30] P. Glasserman,et al. Monte Carlo methods for security pricing , 1997 .
[31] E. Fama. Market Efficiency, Long-Term Returns, and Behavioral Finance , 1997 .
[32] L. Rogers. Arbitrage with Fractional Brownian Motion , 1997 .
[33] H. Pham. Optimal stopping, free boundary, and American option in a jump-diffusion model , 1997 .
[34] M. Fu,et al. Pricing Continuous Asian Options: A Comparison of Monte Carlo and Laplace Transform Inversion Methods , 1998 .
[35] P. Carr,et al. The Variance Gamma Process and Option Pricing , 1998 .
[36] Cyrus A. Ramezani,et al. Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices , 1998 .
[37] Espen Gaarder Haug. Barrier Put-Call Transformations , 1999 .
[38] Mark D. Schroder,et al. Changes of Numeraire for Pricing Futures, Forwards, and Options , 1999 .
[39] C. Heyde. A RISKY ASSET MODEL WITH STRONG DEPENDENCE THROUGH FRACTAL ACTIVITY TIME , 1999 .
[40] K. Prause. The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures , 1999 .
[41] P. Carr,et al. Option valuation using the fast Fourier transform , 1999 .
[42] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[43] D. Heath,et al. Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing , 1999 .
[44] L. C. G. Rogers. Evaluating first-passage probabilities for spectrally one-sided Lévy processes , 2000, Journal of Applied Probability.
[45] Dawn Hunter. Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods , 2000 .
[46] G. Papanicolaou,et al. Derivatives in Financial Markets with Stochastic Volatility , 2000 .
[47] P. Glasserman,et al. The Term Structure of Simple Forward Rates with Jump Risk , 2000 .
[48] N. Shephard,et al. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics , 2001 .
[49] Chandrasekhar Reddy Gukhal. Analytical Valuation of American Options on Jump-Diffusion Processes , 2001 .
[50] Vadim Linetsky,et al. Pricing and Hedging Path-Dependent Options Under the CEV Process , 2001, Manag. Sci..
[51] M. Yor,et al. Stochastic Volatility for Levy Processes , 2001 .
[52] Samuel Kotz,et al. The Laplace Distribution and Generalizations: A Revisit with Applications to Communications, Economics, Engineering, and Finance , 2001 .
[53] S. Levendorskii,et al. Barrier options and touch- and-out options under regular Lévy processes of exponential type , 2002 .
[54] S. R. Pliska,et al. Mathematical Finance, Bachelier Congres 2000 , 2002 .
[55] E. Eberlein,et al. The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures , 2002 .
[56] Steven Kou,et al. A Jump Diffusion Model for Option Pricing , 2001, Manag. Sci..
[57] 木島 正明,et al. Stochastic processes with applications to finance , 2002 .
[58] A. Kyprianou,et al. Perpetual options and Canadization through fluctuation theory , 2003 .
[59] Artur Sepp,et al. Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform , 2003 .
[60] Hui Wang,et al. First passage times of a jump diffusion process , 2003, Advances in Applied Probability.
[61] R. Cont,et al. Financial Modelling with Jump Processes , 2003 .
[62] Steven Kou,et al. Option Pricing Under a Double Exponential Jump Diffusion Model , 2001, Manag. Sci..
[63] G. Petrella. An extension of the Euler Laplace transform inversion algorithm with applications in option pricing , 2004, Oper. Res. Lett..
[64] Florin Avram,et al. Exit problems for spectrally negative Levy processes and applications to (Canadized) Russian options , 2004 .
[65] Liming Feng,et al. On the Valuation of Options in Jump-Di ff usion Models by Variational Methods ∗ , 2004 .
[66] S. Kou,et al. Numerical pricing of discrete barrier and lookback options via Laplace transforms , 2004 .
[67] S. Asmussen,et al. Russian and American put options under exponential phase-type Lévy models , 2004 .
[68] C. C. Heydea,et al. On the controversy over tailweight of distributions , 2004 .
[69] S. Kou,et al. Pricing Path-Dependent Options with Jump Risk via Laplace Transforms , 2005 .
[70] Rama Cont,et al. A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models , 2005, SIAM J. Numer. Anal..
[71] R. C. Merton,et al. Theory of Rational Option Pricing , 2015, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.
[72] P. Forsyth,et al. Robust numerical methods for contingent claims under jump diffusion processes , 2005 .
[73] C. Heyde,et al. What Is a Good Risk Measure: Bridging the Gaps between Data, Coherent Risk Measures, and Insurance Risk Measures , 2006 .
[74] Christian Bender,et al. Arbitrage with fractional Brownian motion , 2007 .
[75] C. Heyde,et al. What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures , 2007 .
[76] Xiongzhi Chen. Brownian Motion and Stochastic Calculus , 2008 .
[77] Vadim Linetsky,et al. Pricing Options in Jump-Diffusion Models: An Extrapolation Approach , 2008, Oper. Res..
[78] Nan Chen,et al. CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK , 2009 .