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- W2559828508 abstract "In this article, we use Mellin transforms to derive alternative results for option pricing and implied volatility estimation when the underlying asset price is governed by jump-diffusion dynamics. The current well known results are restrictive since the jump is assumed to follow a predetermined distribution (e.g., lognormal or double exponential). However, the results we present are general since we do not specify a particular jump-diffusion model within the derivations. In particular, we construct and derive an exact solution to the option pricing problem in a general jump-diffusion framework via Mellin transforms. This approach of Mellin transforms is further extended to derive a Dupire-like partial integro-differential equation, which ultimately yields an implied volatility estimator for assets subjected to instantaneous jumps in the price. Numerical simulations are provided to show the accuracy of the estimator." @default.
- W2559828508 created "2016-12-16" @default.
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- W2559828508 date "2016-12-06" @default.
- W2559828508 modified "2023-10-18" @default.
- W2559828508 title "Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms" @default.
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- W2559828508 doi "https://doi.org/10.1017/s0956792516000516" @default.
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