The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.
A Jump-Diffusion Model for Option Pricing
Open accessAbstract
Brownian motion and normal distribution have been widely used in the Black–Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called “volatility smile” in option markets. To incorporate both of them and to strike a balance between reality and tractability, this paper proposes, for the purpose of option pricing, a double exponential jump-diffusion model. In particular, the model is simple enough to produce analytical solutions for a variety of option-pricing problems, including call and put options, interest rate derivatives, and path-dependent options. Equilibrium analysis and a psychological interpretation of the model are also presented.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables
Owen, D. B., Abramowitz, M., & Stegun, I. A. (1965) · Technometrics · doi:10.2307/1266136 · Cited by 16,138
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
The Behavior of Stock-Market Prices
Fama, E. F. (1965) · The Journal of Business · doi:10.1086/294743 · Cited by 8,664
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
Asset Prices in an Exchange Economy
Lucas, R. E. (1978) · Econometrica · doi:10.2307/1913837 · Cited by 5,014
The Variation of Certain Speculative Prices
Mandelbrot, B. (1963) · The Journal of Business · doi:10.1086/294632 · Cited by 4,747
The variation of certain speculative prices
Mandelbrot, B. B. (1997) · Fractals and Scaling in Finance · doi:10.1007/978-1-4757-2763-0_14 · Cited by 4,468
A model of investor sentiment /
Barberis, N., Vishny, R. W., Shleifer, A., & Research., N. B. O. E. (1997) · University of Michigan Library Repository · Cited by 4,013
Cited by
Time-changed Lévy processes and option pricing
Carr, P., & Wu, L. (2004) · Journal of Financial Economics · doi:10.1016/s0304-405x(03)00171-5 · Cited by 674
Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme
Daskalakis, G., Psychoyios, D., & Markellos, R. N. (2009) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2009.01.001 · Cited by 484
Stochastic skew in currency options☆
CARR, P., & WU, L. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2006.03.010 · Cited by 339
The risk premia embedded in index options
Andersen, T. G., Fusari, N., & Todorov, V. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2015.06.005 · Cited by 284
Metadata
- Authors
- Kou, S. G.
- Venue
- Management Science
- Published
- 2002-08
- Volume
- 48
- Issue
- 8
- Pages
- 1086-1101
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W3122167020
- Cited by
- 1,889
- References
- 36
- FWCI
- 36.07
- Type
- journal article
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: A Jump-Diffusion Model for Option Pricing. https://app.cochat.ai/papers/10.1287/mnsc.48.8.1086.166
- The paper
- Kou, S. G. (2002). A Jump-Diffusion Model for Option Pricing. Management Science. https://doi.org/10.1287/mnsc.48.8.1086.166
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
