Pricing turbo warrants under mixed-exponential jump diffusion model

被引：0

作者：

Yu, Jianfeng ^{[1
]}

Xu, Weidong ^{[1
]}

机构：

[1] Zhejiang Univ, Sch Management, 388 Yuhangtang Rd, Hangzhou 310058, Zhejiang, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2016年 / 451卷

关键词：

Exotic option; Turbo warrants; Mixed-exponential jump diffusion; Laplace transform; Euler method; 1ST PASSAGE TIMES; OPTIONS;

D O I：

10.1016/j.physa.2015.12.158

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Turbo warrant is a special type of barrier options in which the rebate is calculated as another exotic option. In this paper, using Laplace transforms we obtain the valuation of turbo warrant under the mixed-exponential jump diffusion model, which is able to approximate any jump size distribution. The numerical Laplace inversion examples verify that the analytical solutions are accurate. The results of simulation confirm the argument that jump risk should not be ignored in the valuation of turbo warrants. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：490 / 501

页数：12

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