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• W2896586090 abstract "• We develop a dynamic model for joint dynamic modeling. • The model captures both the time-inhomogeneity and the cojump phenomena. • Option pricing formulas are readily obtainable through the Gerber–Siu’s approach. • The empirical results and numerical illustrations provide the evidences. In this study, we evaluate the option prices on two assets under stochastic interest rates when the stochastic process that underlying asset prices follow is depending on a correlated bivariate Markov-modulated geometric Brownian motion model with jump risks. More specifically, we conduct the joint dynamic modeling by identifying two independent compound Poisson processes with the log-normal jump sizes to describe both individual jumps and systematic cojumps. Facilitating the cojumping behavior this way with the time-inhomogeneity of the volatility, option pricing expressions are readily obtainable since the Gerber–Siu’s approach is employed to determine a pricing kernel. The empirical results and numerical illustrations are provided to show the impact of cojumps and stochastic volatilities on option prices." @default.
• W2896586090 created "2018-10-26" @default.
• W2896586090 creator A5004852611 @default.
• W2896586090 creator A5075243982 @default.
• W2896586090 date "2020-01-01" @default.
• W2896586090 modified "2023-10-17" @default.
• W2896586090 title "Joint dynamic modeling and option pricing in incomplete derivative-security market" @default.
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• W2896586090 doi "https://doi.org/10.1016/j.najef.2018.09.003" @default.
• W2896586090 hasPublicationYear "2020" @default.
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