Pricing Fade-in Options Under GARCH-Jump Processes

被引：0

作者：

Wang, Xingchun ^{[1
]}

Zhang, Han ^{[2
]}

机构：

[1] Univ Int Business & Econ, Sch Int Trade & Econ, Beijing, Peoples R China

[2] Renmin Univ China, Sch Finance, Beijing, Peoples R China

来源：

COMPUTATIONAL ECONOMICS | 2023年

基金：

中国国家自然科学基金;

关键词：

GARCH-jump processes; Fade-in options; Fourier transform; Default risk; G13; VALUATION; RISK;

D O I：

10.1007/s10614-023-10527-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we investigate fade-in options under GARCH-jump processes. Specifically, we adopt NIG distributions to capture jump risk, and both market and individual jumps are considered. In the pricing model driven by GARCH-jump processes, we obtain the prices of fade-in options using the Fourier transform methods. Finally, we use the derived pricing formulae to illustrate the effects of fade-in sets and the parameters in the jump processes.

引用

页数：22

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