Pricing basket and Asian options under the jump-diffusion process
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.20508/fullpdf
Reference28 articles.
1. The pricing of foreign currency options under jump-diffusion processes;Ahn;Journal of Futures Markets,2007
2. The effects of jump risks associated with the default rate on credit spreads;Ahn;Journal of Risk,2005
3. Do options markets correctly price the probabilities of movement of the underlying asset;Aït-Sahalia;Journal of Econometrics,2001
4. An empirical investigation of continuous-time equity return models;Andersen;Journal of Finance,2002
5. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997
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2. A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model;The North American Journal of Economics and Finance;2021-11
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