DISCONTINUOUS PROCESSES

T. W. Epps
Additional contact information
T. W. Epps: University of Virginia, USA

Chapter 9 in Pricing Derivative Securities, 2000, pp 411-453 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Derivatives with Random Payoff TimesDerivatives on Mixed Jump/DiffusionsJumps plus Constant-Volatility DiffusionsNonuniqueness of the Martingale MeasureEuropean Options under Jump DynamicsProperties of Jump-Dynamics Option PricesOptions Subject to Early ExerciseJumps Plus Stochastic VolatilityA Computationally Feasible ModelPricing European OptionsPure-Jump ModelsThe Variance-Gamma ModelThe Hyperbolic ModelAsset Prices as Branching ProcessesAssessing the Pure-Jump Models

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812792914_0009 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812792914_0009 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789812792914_0009

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().