A Study of Stochastic Volatility Models with Jump Risk and Option Valuation

A Study of Stochastic Volatility Models with Jump Risk and Option Valuation

碩士 === 國立清華大學 === 統計學研究所 === 106 === abstract hide

Bibliographic Details
Main Authors:	Wu, Yu-Yao, 吳予耀
Other Authors:	Tsai, Tzu-Hao
Format:	Others
Language:	en_US
Published:	2018
Online Access:	http://ndltd.ncl.edu.tw/handle/x8t8cv

Similar Items

Option Pricing models with Stochastic Volatility and Jumps
by: Kalsheker, Farhan
Published: (2014)

On the valuation of barrier and American options in local volatility models with jumps
by: Eriksson, Bjorn
Published: (2013)

Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump
by: Guo, X., et al.
Published: (2022)

Valuation of turbo warrants with stochastic volatility and double exponential jumps
by: Dei-Wei Lee, et al.
Published: (2012)

Real Option Valuation with Stochastic Interest Rate and Stochastic Volatility
by: Ramdhan Fazrianto Suwarman
Published: (2019-11-01)

European Option Pricing with Stochastic Volatility, Stochastic Interest Rate and Jump Diffusion:Jump Range Restriction in Taiwan’s Stock Market
by: Cho-Jui Wu, et al.
Published: (2016)

Option Pricing with Stochastic Volatility and Jump Diffusion Processes
by: Radu Lupu
Published: (2006-05-01)

Option Pricing with Stochastic Volatility and Jump Diffusion Processes
by: Radu Lupu
Published: (2006-03-01)

Valuation of with-profit life insurance contracts with embedded default options under stochastic volatility and double exponential jumps
by: Wen-Hui Chiu, et al.
Published: (2014)

Foreign Exchange Option Valuation under Stochastic Volatility
by: Rafiou, AS
Published: (2021)

On the Class of Risk Neutral Densities under Heston’s Stochastic Volatility Model for Option Valuation
by: Boukai, B.
Published: (2023)

Valuation of American Options onCap and Floor with Stochastic Volatility
by: Huang, Chun-Lin, et al.
Published: (2015)

Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model
by: Guohe Deng
Published: (2020-01-01)

Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility
by: Xinfeng Ruan, et al.
Published: (2013-01-01)

An empirical analysis of jump diffusion stochastic volatility models for currency option pricing
by: Zhang, Lei
Published: (2011)

Multi-Asset and Stochastic Volatility Option and Bond Pricing Models : Valuations and Calibrations
by: Yang, Choa
Published: (2009)

A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk
by: Su-mei Zhang, et al.
Published: (2012-01-01)

Valuation of Foreign Currency Options under Stochastic Interest Rates and Volatility
by: Yean-Shing Lu, et al.
Published: (2002)

Fast Fourier Transform in Jump Diffusion and Stochastic Volatility Models : The Case of TAIEX Options
by: Pei-Hua Chen, et al.
Published: (2007)

Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity
by: Ying Chang, et al.
Published: (2020-01-01)

Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate
by: Rongda Chen, et al.
Published: (2017-12-01)

Weather Option Valuation - Considering Temperature Jump Model
by: Shih-Wen, Hsiao, et al.
Published: (2011)

The Valuation of Swaptions with Stochastic Volatility
by: LEE,YU,TONG, et al.
Published: (2015)

Option Valuation Under Stochastic Volatility : An Empirical Investigation of the Weak GARCH Diffusion Model
by: Veddeng, Eivind Sars
Published: (2012)

The Impact of Volatility Estimation on Valuation of Index Option
by: Wu,Jeng-Min, et al.
Published: (2012)

On a Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities
by: Chen-hui Hung, et al.
Published: (2010)

An efficient pricing algorithm for American options with double stochastic volatilities and double jumps
by: Sumei Zhang
Published: (2018-09-01)

Valuation of Equity Indexed Annuities Embedded Options under Stochastic Volatility Settings
by: Kan-Heng Lee, et al.
Published: (2007)

Essays on stochastic volatility and jumps
by: Chen, Ke
Published: (2013)

Jump and volatility risks implicit in the UK options market
by: Chen, Jian
Published: (2009)

The Valuation of Option Features in Retirement Benefits with Interest Rate and Jump Risk
by: 蕭嘉君
Published: (2001)

Optimal Option Hedging Strategy with Fast Fourier Transform in Jump Diffusion and Stochastic Volatility Models
by: Ching-Hua Chen, et al.
Published: (2008)

Option Pricing under Double Heston Jump-Diffusion Model with Approximative Fractional Stochastic Volatility
by: Ying Chang, et al.
Published: (2021-01-01)

The Influence of Volatility Risk and Jump Risk on TAIEX Option Return
by: Hung-An Lin, et al.
Published: (2015)

Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps
by: Paulin, Carl, et al.
Published: (2020)

Including Jumps in the Stochastic Valuation of Freight Derivatives
by: Lourdes Gómez-Valle, et al.
Published: (2021-01-01)

An Efficient Approximation for Pricing American Options under Stochastic Volatility and Double Exponential Jumps
by: Chiu, Yun-Ting, et al.
Published: (2010)

Impact of the inclusion of stochastic and conditional volatility of a commodity in real options valuation using the binomial options pricing model
by: Pareja, Julian A.
Published: (2019)

The Valuation and Hedging of Variance Swaps with Jumps in Returns and Volatility
by: Shu-Kuei Lin, et al.

Pricing Temperature Derivatives under Jump Risks and Stochastic Volatility
by: Chuang, Ming Che, et al.