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Paper / 2016SMQ / 120196965238349
Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions
Bingqing Li / Guozhen Li / Michael C. Fu / Rongwen Wu
derivatives / jump processesResource overview

Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions

Paper2016

by Bingqing Li, Guozhen Li, Michael C. Fu, Rongwen Wu

Tags
derivativesjump processesmathematical financeoption pricing

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

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  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.

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

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

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