2 papers
q-fin.MF2021
The Parameter Sensitivities of a Jump-diffusion Process in Basic Credit Risk Analysis
Bin Xie, Weiping Li
We detect the parameter sensitivities of bond pricing which is driven by a Brownian motion and a compound Poisson process as the discontinuous case in credit risk research. The str…
q-fin.MF2021
Pricing S&P 500 Index Options with Lévy Jumps
Bin Xie, Weiping Li, Nan Liang
We analyze various jumps for Heston model, non-IID model and three Lévy jump models for S&P 500 index options. The Lévy jump for the S&P 500 index options is inevitable from empiri…