This paper introduces a class of two counters of jumps option pricing models. The stock
price follows a jump-diffusion process with price jumps up and price jumps down, where …

In standard options pricing models that include jump components to capture large price
changes, the conditional jump intensity is typically specified as an increasing function of the …

This article proposes and tests a convenient, easy to use closed-form solution for the pricing
of a European Call option where the underlying asset is subject to upward and downward …

This paper explores the effect of extreme events or big jumps downwards and upwards on
the jump‐diffusion option pricing model of Merton (1976). It starts by obtaining a special …

Jump‐diffusion option pricing models are generalizations of the Black–Scholes model,
generalizations in which the underlying asset price can jump. The dynamics of the log‐price …

I develop a new class of closed‐form option pricing models that incorporate variance risk
premium and symmetric or asymmetric double exponential jump diffusion. These models …

The paper analyzes expected option returns in models with stochastic volatility and jumps. A
comparison with empirically documented returns shows that the ability of the model to …

This article investigates option models in the encompassing class of stochastic volatility,
returnjumps, and volatility-jumps. Relying on individual equity options and method of …

This study proposes a new alternative option pricing model that includes two independent
jump diffusions. Unlike the existing single-jump model, a two-jump model can be …

Under very general conditions, the total quadratic variation of a jump-diffusion process can
be decomposed into diffusive volatility and squared jump variation. We use this result to …