A self-exciting threshold jump-diffusion model for option valuation
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- 作者：Tak Kuen Siu Ken.Siu@mq.edu.au" class="auth_mail" title="E-mail the corresponding author ktksiu2005@gmail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：G13
- 刊名：Insurance: Mathematics and Economics
- 出版年：2016
- 出版时间：July 2016
- 年：2016
- 卷：69
- 期：Complete
- 页码：168-193
- 全文大小：2844 K
文摘
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A self-exciting threshold jump–diffusion model is introduced to value options.
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The generalized Esscher transform is used to select a pricing kernel.
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A piecewise linear Black–Scholes PDE for a European option is derived.
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A decomposition formula for an American put option is derived.
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Quadratic approximation and numerical results for the case without jumps are included.