Approximating Garch‐jump Models, Jump‐diffusion Processes, and Option Pricing

Content Provider	Semantic Scholar
Author	Duan, Jin-Chuan Ritchken, Peter H. Sun, Zhiqiang
Copyright Year	2006
Abstract	This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset prices and volatilities. We extend theory developed by Nelson (1990) and Duan (1997) by considering the limiting models for our approximating GARCH Jump process. Limiting cases of our processes consist of models where both asset price and local volatility follow jump diffusion processes with correlated jump sizes. Convergence of a few GARCH models to their continuous time limits is evaluated and the benefits of the models explored.
Starting Page	21
Ending Page	52
Page Count	32
File Format	PDF HTM / HTML
DOI	10.1111/j.1467-9965.2006.00259.x
Alternate Webpage(s)	https://faculty.weatherhead.case.edu/ritchken/documents/GARCH_LIMITS_March192005.pdf
Alternate Webpage(s)	https://weatherhead.case.edu/departments/banking-and-finance/Documents/GARCH_LIMITS_March192005.pdf
Alternate Webpage(s)	http://faculty.weatherhead.case.edu/ritchken/research_stuf/garch_limits.pdf
Alternate Webpage(s)	https://doi.org/10.1111/j.1467-9965.2006.00259.x
Volume Number	16
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article