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In this paper, we present a method to estimate the market parameters modelled by an asymmetric jump diffusion process. The method proposed is based on Kou's jump diffusion model while the market parameters refer to the market drift, the market volatility, the jump intensity on market price, and the rate of jump occurrence in a consistent manner throughout the entire paper. The model captures the asymmetric nature of the price fluctuation during up trend markets and down trend markets. The results are compared to conventional options to observe the impact of jump effects. The results from simulation show that the asymmetric jump diffusion model can estimate the fair prices of European call options and annuity better than the Black-Scholes model and the symmetric jump diffusion model proposed by Kou and Merton.
This article was published in the following journal.
Name: PloS one
In this paper, I aim to explore the effect of good governance on equity returns, and empirically investigate if governance at the country level has asset pricing implications and contributes to the id...
Diffusion encoding with asymmetric gradient waveforms is appealing because the asymmetry provides superior efficiency. However, concomitant gradients may cause a residual gradient moment at the end of...
A drop of lipid lateral self-diffusion coefficient at the liquid-gel phase transition in lipid membranes is calculated. So far this drop was missing theoretical description. Our microscopic model capt...
Although diffusion gradient directions and b-values have been optimized for diffusion kurtosis imaging (DKI), little is known about the effect of signal averaging on DKI reliability.
To determine if softshell (AE) and semi-rigid (T1) ankle braces affect lower extremity iEMG activity, force, and jump height during a Vertical Jump Test.
The aim of the study is to identify the role of diffusion weighted MRI in the assessment of the clinical significance and outcomes of asymmetric breast densities identified on mammograms, ...
Glaucoma topical eye medications, when adhered to, are effective at controlling disease progression. Yet evidence shows that many glaucoma patients have incomplete adherence to medications...
For optimal jumping performance an adequate interaction of muscles and tendons is required. A parameter in the functional evaluation of both structures is their stiffness (resistance of th...
The overarching goal of B'More Healthy Retail Rewards (BHRR) is to develop, implement, and evaluate a pilot multi-level communications and pricing intervention to improve access to and con...
To examine the long-term effects of anterior cruciate ligament injuries and reconstructions (after successful rehabilitation) on cortical processes of motor planning during complex jump la...
A diagnostic technique that incorporates the measurement of molecular diffusion (such as water or metabolites) for tissue assessment by MRI. The degree of molecular movement can be measured by changes of apparent diffusion coefficient (ADC) with time, as reflected by tissue microstructure. Diffusion MRI has been used to study BRAIN ISCHEMIA and tumor response to treatment.
The use of diffusion ANISOTROPY data from diffusion magnetic resonance imaging results to construct images based on the direction of the faster diffusing molecules.
Frameworks of empirical evidence used to study and interpret social phenomena.
An empirical investigation which pertains to the development of prototypes or models that demonstrate the feasibility of novel concepts, ideas, principles, schema or their practical application.
The tendency of a gas or solute to pass from a point of higher pressure or concentration to a point of lower pressure or concentration and to distribute itself throughout the available space. Diffusion, especially FACILITATED DIFFUSION, is a major mechanism of BIOLOGICAL TRANSPORT.