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Jump-Diffusion Option Pricing without IID Jumps
1 of 30 checkable references need attention · checked 2026-08-28
At the dated check, the references listed below either did not resolve in Crossref or DataCite, or carried a retraction notice. Each one is shown with the registry record that put it there.
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References needing attention
does not resolve to a known work10.2307/2329472
The 29 checked references that resolve
resolves10.1111/j.1540-6261.1985.tb04942.x
On Jumps in Common Stock Prices and Their Impact on Call Option Pricing
resolves10.1093/rfs/9.1.69
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
resolves10.2307/2330692
Using Jump-Diffusion Return Models to Measure Differential Information by Firm Size
resolves10.1111/j.1540-6261.2007.01241.x
Model Specification and Risk Premia: Evidence from Futures Options
resolves10.1111/1540-6261.00546
A Generalization of the Brennan‐Rubinstein Approach for the Pricing of Derivatives
resolves10.1111/j.1540-6261.2004.00666.x
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
resolves10.1093/rfs/hhi011
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
resolves10.1111/j.1540-6261.2004.00648.x
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
resolves10.1093/rfs/hhl013
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility
resolves10.1093/rfs/3.4.493
General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
resolves10.1093/rfs/7.3.451
Estimating the Effects of Information Surprises and Trading on Stock Returns Using a Mixed Jump-Diffusion Model
resolves10.1016/s0304-405x(01)00088-5
The jump-risk premia implicit in options: evidence from an integrated time-series study
resolves10.1162/rest.2010.11549
Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
resolves10.1111/j.1540-6261.2004.00702.x
Risk‐Neutral Parameter Shifts and Derivatives Pricing in Discrete Time
The 6 references without a DOI — listed, not checked
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no DOI — not checkedref11
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no DOI — not checkedref34
no DOI — not checkedref35
no DOI — not checkedIt gives jump-diffusion option prices without the IID assumption as a percentage of Merton's jump-diffusion option prices under the assumption that jumps are IID. Option prices resulting from Proposition 1 assume that stock price jumps are autocorrelated with increasing means and variances
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