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Paper / 2020SMQ / 63438473180858
Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing
Ludovic Mathys / Walter Farkas
jump processes / mathematical financeResource overview

Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing

Paper2020

by Ludovic Mathys, Walter Farkas

Tags
jump processesmathematical financeoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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