Pricing and Hedging Path-Dependent Options Under the CEV Process
Management Science
Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables,
Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables,
Option Pricing Under a Double Exponential Jump Diffusion Model
Management Science
Numerical valuation of options with jumps in the underlying
Applied Numerical Mathematics
Characterization of dependence of multidimensional Lévy processes using Lévy copulas
Journal of Multivariate Analysis
50th ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
Management Science
Option Pricing Under a Double Exponential Jump Diffusion Model
Management Science
Numerical solution of two asset jump diffusion models for option valuation
Applied Numerical Mathematics
Jump diffusion model with application to the Japanese stock market
Mathematics and Computers in Simulation
Jump-diffusion models with constant parameters for financial log-return processes
Computers & Mathematics with Applications
Efficient solution of a partial integro-differential equation in finance
Applied Numerical Mathematics
Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
Journal of Computational and Applied Mathematics
On the numerical evaluation of option prices in the variance gamma model
International Journal of Computer Mathematics - RECENT ADVANCES IN COMPUTATIONAL AND APPLIED MATHEMATICS IN SCIENCE AND ENGINEERING
Supply chain risks analysis by using jump-diffusion model
Proceedings of the 40th Conference on Winter Simulation
Applied Numerical Mathematics
Numerical valuation of options with jumps in the underlying
Applied Numerical Mathematics
Pricing American options for jump diffusions with iterated SOR
FEA '07 Proceedings of the Fourth IASTED International Conference on Financial Engineering and Applications
Option pricing, maturity randomization and distributed computing
Parallel Computing
Mathematics of Operations Research
The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period
Management Science
Expert Systems with Applications: An International Journal
An iterative method for pricing American options under jump-diffusion models
Applied Numerical Mathematics
Option Pricing Under a Mixed-Exponential Jump Diffusion Model
Management Science
Runge-Kutta methods for jump-diffusion differential equations
Journal of Computational and Applied Mathematics
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
Applied Numerical Mathematics
SIAM Journal on Financial Mathematics
A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
SIAM Journal on Scientific Computing
Modeling Chinese stock returns with stable distribution
Mathematical and Computer Modelling: An International Journal
Pricing American options when asset prices jump
Operations Research Letters
On first passage times of a hyper-exponential jump diffusion process
Operations Research Letters
Pricing double-barrier options under a flexible jump diffusion model
Operations Research Letters
An extension of the Euler Laplace transform inversion algorithm with applications in option pricing
Operations Research Letters
On the controversy over tailweight of distributions
Operations Research Letters
Tri-diagonal preconditioner for pricing options
Journal of Computational and Applied Mathematics
Simulating Lévy Processes from Their Characteristic Functions and Financial Applications
ACM Transactions on Modeling and Computer Simulation (TOMACS)
A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
SIAM Journal on Numerical Analysis
Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
Operations Research
Pricing Discretely Monitored Asian Options by Maturity Randomization
SIAM Journal on Financial Mathematics
Lévy-Based Cross-Commodity Models and Derivative Valuation
SIAM Journal on Financial Mathematics
SIAM Journal on Financial Mathematics
Continuity Correction for Barrier Options in Jump-Diffusion Models
SIAM Journal on Financial Mathematics
Test for dispersion constancy in stochastic differential equation models
Applied Stochastic Models in Business and Industry
Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
Journal of Computational and Applied Mathematics
First passage times of reflected Ornstein---Uhlenbeck processes with two-sided jumps
Queueing Systems: Theory and Applications
Exit problems for jump processes with applications to dividend problems
Journal of Computational and Applied Mathematics
An inverse finance problem for estimation of the volatility
Computational Mathematics and Mathematical Physics
A Spectral Element Framework for Option Pricing Under General Exponential Lévy Processes
Journal of Scientific Computing
Computers & Mathematics with Applications
Journal of Computational and Applied Mathematics
Journal of Computational and Applied Mathematics
A new high-order compact scheme for American options under jump-diffusion processes
International Journal of Business Intelligence and Data Mining
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Brownian motion and normal distribution have been widely used in the Black--Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called "volatility smile" in option markets. To incorporate both of them and to strike a balance between reality and tractability, this paper proposes, for the purpose of option pricing, a double exponential jump-diffusion model. In particular, the model is simple enough to produce analytical solutions for a variety of option-pricing problems, including call and put options, interest rate derivatives, and path-dependent options. Equilibrium analysis and a psychological interpretation of the model are also presented.