Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

2014 ◽  
Author(s):  
Binh Thanh Dao ◽  
Monique Jeanblanc ◽  
Nadine Bellamy
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
American Put ◽  
Negative Jump

PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES

2016 ◽  
Vol 31 (2) ◽  
pp. 121-138 ◽  
Author(s):  
Guanying Wang ◽  
Xingchun Wang ◽  
Zhongyi Liu
Keyword(s):  
Default Risk ◽  
Diffusion Processes ◽  
Compound Poisson Process ◽  
Jump Diffusion ◽  
Option Prices ◽  
Jump Diffusions ◽  
Put Options ◽  
Jump Diffusion Processes ◽  
American Put Options ◽  
American Put

This paper evaluates vulnerable American put options under jump–diffusion assumptions on the underlying asset and the assets of the counterparty. Sudden shocks on the asset prices are described as a compound Poisson process. Analytical pricing formulae of vulnerable European put options and vulnerable twice-exercisable European put options are derived. Employing the two-point Geske and Johnson method, we derive an approximate analytical pricing formula of vulnerable American put options under jump–diffusions. Numerical simulations are performed for investigating the impacts of jumps and default risk on option prices.

Implicit–explicit numerical schemes for jump–diffusion processes

CALCOLO ◽  
2007 ◽  
Vol 44 (1) ◽  
pp. 33-57 ◽  
Author(s):  
Maya Briani ◽  
Roberto Natalini ◽  
Giovanni Russo
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Numerical Schemes ◽  
Jump Diffusion Processes
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