| 000 | 01058cam a2200169 4500500 | ||
|---|---|---|---|
| 005 | 20250112034100.0 | ||
| 041 | _afre | ||
| 042 | _adc | ||
| 100 | 1 | 0 |
_aQuittard-Pinon, François M. _eauthor |
| 700 | 1 | 0 |
_a Randrianarivony, Rivo _eauthor |
| 245 | 0 | 0 | _aCalibration of Options for Three Jump Diffusion Models |
| 260 | _c2009. | ||
| 500 | _a31 | ||
| 520 | _aThis 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. | ||
| 786 | 0 | _nFinance | 29 | 2 | 2009-03-04 | p. 103-130 | 0752-6180 | |
| 856 | 4 | 1 | _uhttps://shs.cairn.info/journal-finance-2008-2-page-103?lang=en |
| 999 |
_c166628 _d166628 |
||