22. Options on Jump Processes

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch22

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Options on Jump Processes, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch22

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

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Keywords:

  • jump processes;
  • jump-diffusions;
  • moment-generating function;
  • Fourier methods;
  • merton's jump-diffusion

Summary

This chapter contains sections titled:

  • Options under Jump–Diffusions

  • A Primer on Characteristic Functions

  • Using Fourier Methods to Price Options

  • Applications to Jump Models

  • Exercises