Option Pricing Under Jump-Diffusion Processes

Carl Chiarella, Xuezhong (Tony) He () and Christina Sklibosios Nikitopoulos
Additional contact information
Christina Sklibosios Nikitopoulos: University of Technology Sydney

Chapter Chapter 13 in Derivative Security Pricing, 2015, pp 273-293 from Springer

Abstract: Abstract This chapter extends the hedging argument of option pricing developed for continuous diffusion processes previously to the situations when the underlying asset price is driven by the jump-diffusion stochastic differential equations. By constructing hedging portfolios and employing the capital asset pricing model, we provide an option pricing integro-partial differential equations and a general solution. We also examine alternative ways to construct the hedging portfolio and to price option when the jump sizes are fixed.

Keywords: Stock Price; Asset Price; Option Price; Excess Return; Capital Asset Price Model (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-662-45906-5_13

Ordering information: This item can be ordered from
http://www.springer.com/9783662459065

DOI: 10.1007/978-3-662-45906-5_13

Access Statistics for this chapter

More chapters in Dynamic Modeling and Econometrics in Economics and Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().