Calibration of Options for Three Jump Diffusion Models (notice n° 167045)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01058cam a2200169 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112034205.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Quittard-Pinon, François M. |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Calibration of Options for Three Jump Diffusion Models |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2009.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 31 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Randrianarivony, Rivo |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | 29 | 2 | 2009-03-04 | p. 103-130 | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-finance-2008-2-page-103?lang=en">https://shs.cairn.info/journal-finance-2008-2-page-103?lang=en</a> |
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