Calibrage d'options pour trois modèles mixtes diffusions et sauts

François M. Quittard-Pinon and Rivo Randrianarivony

Finance, 2008, vol. 29, issue 2, 103-130

Abstract: This article presents calibration of European options using a non-Gaussian setting. In particular, the authors consider three jump diffusion models, the classical Merton [1976] and Kou [2002] processes and another one which extends Kou to the case of multiple jumps. The pricing methodology rests on a very efficient Fourier framework, which permits calibrations in a short computational time. This is particularly advantageous in the multiple jump case. This article is an invitation to use non-Gaussian models in option pricing and calibration.

Date: 2008
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