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Jump-diffusion models: a practitioner’s guide
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BibTeX
@MISC{Tankov_jump-diffusionmodels:,
author = {Peter Tankov and Universite ́ Paris and Ekaterina Voltchkova},
title = {Jump-diffusion models: a practitioner’s guide},
year = {}
}
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Abstract
The goal of this paper is to show that the jump-diffusion models are an essential and easy-to-learn tool for option pricing and risk management, and that they provide an adequate description of stock price fluctuations and market risks. We try to give an overview of the field without focusing on technical details. After introducing several widely used jump-diffusion models, we discuss Fourier transform based methods for European option pricing, partial differential equations for barrier and American options, and the existing approaches to calibration and hedging. 1
