jfuqua
Senior Member
Posts: 1254
Joined: Jul 2002

Wed May 14, 08 04:21 PM


There are many papers on this. Here are a few in the last year or so. By consulting the bibliographies of books/papers you will find all you need.
Duffie, Pan, Singleton, 2000, Transform Analysis and Asset Pricing for Affine Jump Diffusions, Econometrica, 68(6) Eberlein Ernst, Dilip Madan 'Sato Processes and the Valuation of Structured Products' 7/07 Espinosa Fernando, Josep Vives 'A VolatilityVarying and JumpDiffusion Merton Type Model of Interest Rate Risk' V38 #1 Feb. 06 Insurance: Mathematics and Economics Feng Liming, Vadim Linetsky 'Pricing Options in JumpDiffusion Models: An Extrapolation Approach' Operations Research March 08, SSRN 6/07 <Bermuda, Barrier, VG, PIDE> Fink Jason, Michael Albert 'Adaptive Mesh Modeling and Barrier Option Pricing Under a JumpDiffusion Process' SSRN 2/07 Forster Barbara, Eva Lütkebohmert, Josef Teichmann 'Calculation of Greeks for JumpDiffusions' (Arxiv/0509016), Gapeev Pavel 'Discounted Optimal Stopping for Maxima of Some JumpDiffusion Processes' J. of Applied Probability V. 4, #3 Sept 07 Gapeev Pavel 'Perpetual Barrier Options in JumpDiffusion Models' Stochastics V. 79 #1 & 2 2007 Gapeev Pavel 'Pricing and Hedging Perpetual American Options In JumpDiffusion Models:Barrier Lookback Switching and Credit Options' Hanson Floyd 'American Put Option Pricing for StochasticVolatility JumpDiffusion Models' 2006 Hanson Floyd 'Applied Stochastic Processes and Control for Jump Diffusions:Modeling, Analysis and Computation' SIAM Press 2007 Hanson Floyd 'Stochastic Processes and Control for JumpDiffusions' SSRN 10/07 Krutchenko R.N., A.V. Melnikov 'Quantile Hedging for a JumpDiffusion Financial Market Model' in Trends in Mathematics 2001 Birkhauser Verlag Lindset Snorre 'Pricing American Exchange Options in a JumpDiffusion Model' Journal of Futures Markets March 2007
Edited: Sat May 17, 08 at 03:46 PM by jfuqua

