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Preferences, Lévy Jumps and Option Pricing
equilibrium option pricing recursive utility Levy jumps
2011/4/2
This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices includin...
A Note on Delta Hedging in Markets with Jumps
Delta hedging exact replication martingale representation Black–Merton–Scholes model models with jumps
2011/3/30
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the...
Volatility derivatives in market models with jumps
Volatility derivatives market models with jumps
2010/11/1
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features....