… This restriction is not as important as it may seem because, as we will see later, a jump–diffusion
model allows to calibrate option prices with high precision even if they were generated …

… option prices are monotone increasing functions of the volatility, we can define an inverse
function that maps from a given option price … on option pricing under jump-diffusion models. To …

… jumps, this section also discusses the applications of the forward PIDE to the problem of
fitting the stock process to observable option prices. … option pricing under the jump-diffusion …

… jump diffusion models with arbitrary jump size distributions. Indeed, we propose a jump
diffusion model for asset prices whose jump … We show that the mixedexponential jump diffusion …

… jumpdiffusion models, and the corresponding PIDE formulations for European and single- and
double-barrier options in … with jump diffusions, it is possible that the process will jump right …

… kernels which arise in option pricing theory when the random … , a time-inhomogeneous
jump-diffusion process. We discuss … can be used to price European and barrier options in such …

… method for calibrating jump-diffusion models to a finite set of observed option prices. We …
a risk neutral jump-diffusion model that reproduces the observed option prices and has the …

… ], this paper presents an improved method of pricing vulnerable options under jump diffusion
assumptions about the underlying stock prices and firm values which are appropriate in …

… to the exact number of jump times and the jump amplitudes, due to a … jump-diffusion model
for European option pricing, with uncertainty of both randomness and fuzziness in the jumps…

… that for jump-diffusions with deterministic … jump diffusions with deterministic jump intensity.
From the in-sample fit results, we can conclude that the jump-diffusions with deterministic jump …