Calibrage d'options pour trois modèles mixtes diffusions et sauts

Rivo Randrianarivony and François Quittard-Pinon
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Rivo Randrianarivony: EM - EMLyon Business School

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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: 2008-01-01
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Published in Finance, 2008, 29(2), pp.28 P

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312464

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