Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model

被引：8

作者：

Leippold, Markus ^{[1
]}

Vasiljevic, Nikola

机构：

[1] Univ Zurich, Plattenstr 14, CH-8032 Zurich, Switzerland

来源：

JOURNAL OF BANKING & FINANCE | 2017年 / 77卷

关键词：

American options; Early exercise premium; Hyper-exponential jump-diffusion model; Maturity randomization; Jump-diffusion disentanglement; 1ST PASSAGE TIMES; BARRIER OPTIONS; LEVY PROCESSES; VALUATION; APPROXIMATION; RANDOMIZATION; DRIVEN; PRICES;

D O I：

10.1016/j.jbankfin.2017.01.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by following a maturity randomization approach, we solve the partial integro-differential equation and obtain a tight lower bound for the American option price. Secondly, our method allows to disentangle the contributions of jumps and diffusion for the early exercise premium. Finally, using American-style options on the S&P 100 index from January 2007 until December 2012, we estimate various hyper-exponential specifications and investigate the implications for option pricing and jump diffusion disentanglement. We find that jump risk accounts for a large part of the early exercise premium. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：78 / 94

页数：17

共 50 条

[31] A radial basis collocation method for pricing American options under regime-switching jump-diffusion models
Bastani, Ali Foroush
Ahmadi, Zaniar
Damircheli, Davood
APPLIED NUMERICAL MATHEMATICS, 2013, 65 : 79 - 90
[32] Representations for conditional expectations and applications to pricing and hedging of financial products in Levy and jump-diffusion setting
Daveloose, Catherine
Khedher, Asma
Vanmaele, Michele
STOCHASTIC ANALYSIS AND APPLICATIONS, 2019, 37 (02) : 281 - 319
[33] JUMP-DIFFUSION RISK-SENSITIVE ASSET MANAGEMENT II: JUMP-DIFFUSION FACTOR MODEL
Davis, Mark
Lleo, Sebastien
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2013, 51 (02) : 1441 - 1480
[34] Jump-diffusion option pricing with non-IID jumps
Zou, Lin
Camara, Antonio
Li, Weiping
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2024,
[35] Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
Xiao, Weilin
Zhang, Xili
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2016, 458 : 219 - 238
[36] The Pricing Model and VaR on European Option with the Underlying Stock Pricing Following Jump-Diffusion Model with Stochastic Interest Rate
Xie Yanpeng
Wang Yuzhang
Ding Changkun
PROCEEDINGS OF THE 3RD (2011) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS 1 AND 2, 2011, : 712 - 716
[37] IMEX schemes for pricing options under jump-diffusion models
Salmi, Santtu
Toivanen, Jari
APPLIED NUMERICAL MATHEMATICS, 2014, 84 : 33 - 45
[38] Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
Liang, L. Z. J.
Lemmens, D.
Tempere, J.
EUROPEAN PHYSICAL JOURNAL B, 2010, 75 (03): : 335 - 342
[39] A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
Zhou, Shengwu
Han, Lei
Li, Wei
Zhang, Yan
Han, Miao
COMPUTATIONAL & APPLIED MATHEMATICS, 2015, 34 (03): : 881 - 900
[40] High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
Ghosh, Abhijit
Mishra, Chittaranjan
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2022, 105 : 29 - 40

← 1 2 3 4 5 →