Option Pricing for Coffee Price Using Jump Diffusion Models

Berhane, Tesfahun; Adam, Molalign; Awgichew, Guriju; Haile, Eshetu

doi:10.5814/j.issn.1674-764x.2020.01.011

Cited by 4 publications

(3 citation statements)

References 11 publications

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“…Hasil dari penelitian tersebut prediksi harga saham menggunakan model Geometric Brownian Motion dengan Jump Diffusion memiliki nilai error yang lebih kecil dibandingkan menggunakan model Geometric Brownian Motion. Pada penelitian lainnya membahas penggunaan model jump diffusion dalam membuat model harga saham untuk harga kopi [3]. Diperoleh hasil berupa nilai error yang dihasilkan termasuk kategori sangat baik sehingga menunjukkan bahwa model berkinerja baik.…”

Section: Pada Penelitian Terdahulu Dilakukan Perbandingan Model Geome...unclassified

Aplikasi Geometric Brownian Motion dengan Jump Diffusion dalam Memprediksi Harga Saham Liquid Quality 45

Ditasari

Rohaeti

Kamila

2022

Euler J. Ilm. Mat. Sains dan Teknol.

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At the beginning of 2021, stock LQ45 experienced a significant spike in stock prices, making the stock price difficult to predict and the profits obtained by investors uncertain. The purpose of this study is to predict the stock price of LQ45 using the Geometric Brownian Motion model with Jump Diffusion and determine investment by comparing the expected return and return of stock price prediction results. This study uses a Geometric Brownian Motion model with Jump Diffusion to predict stock prices because it can predict when stock prices experience price spikes and fluctuations. Based on the results of the study, of the 45 stocks listed on LQ45 stock, only nine stock companies were selected that had a normally distributed return whose stock price was predicted by applying the Geometric Brownian Motion model with jump-diffusion and each MAPE value obtained was in the very good category. There are six stock companies with investment decisions in the form of buying shares, including Ace Hardware Indonesia Tbk, Bank Central Asia Tbk, Charoen Pokphand Indonesia Tbk, Indofood CBP Sukses Makmur Tbk, Vale Indonesia Tbk and Indah Kiat Pulp Paper Tbk. Three stock companies with investment decisions in the form of selling shares including, Bank Rakyat Indonesia (Persero) Tbk, Jasa Marga (Persero) Tbk and Mitra Keluarga Karyasehat Tbk.

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Section: Pada Penelitian Terdahulu Dilakukan Perbandingan Model Geome...unclassified

Aplikasi Geometric Brownian Motion dengan Jump Diffusion dalam Memprediksi Harga Saham Liquid Quality 45

Ditasari

Rohaeti

Kamila

2022

Euler J. Ilm. Mat. Sains dan Teknol.

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“…Cartea and Figueroa [6], Meyer-Brandis and Tankov [15] and Kegnenlezom et al [10] applied the model in the evaluation of electricity prices. Berhane et al [3] used the model in the modelling of Ethiopian commodity prices to reduce risks caused by spikes in the prices. Carr and Mayo [5] discussed numerical pricing of options with partial integral differential equation when density functions of jump processes involve Gaussian, exponential and polynomials.…”

Section: Introductionmentioning

confidence: 99%

Jump-Diffusion Process of Interest Rates and the Malliavin Calculus

Udoye¹,

Ogbogbo²,

Akinola³

2021

Int. J. of Appl. Math.

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In this paper, we employ the existing Hull-White short rate model to derive an interest rate model driven by jump-diffusion process. Interest rates experience both positive and negative jumps at some intervals as a result of several factors which include natural disasters and presence of pandemics such as corona virus. Much has been done in the modelling of interest rates driven by Brownian motion process whereas little emphasis are laid on jumps inherent in the interest rates. For efficient modelling and pricing of financial derivatives, there is need to consider the aspect of jumps. Hence, this paper bridges the gap by focusing on an improved model. Sensitivities namely 'delta', 'vega', 'Theta' and 'Gamma' of the new model are also derived using Malliavin calculus.

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“…Buraschi and Jiltsov (2007) observed that interest rates exhibit continuous and discontinuous behaviours, as a result, they suggested obtaining solutions of term structure model under jump-diffusion processes. Berhane et al (2019) derived a better model for Ethiopian commodity prices to minimise risks caused by jumps using the jump-diffusion model. Carr and Mayo (2007) proposed numerical pricing of options with partial integral differential equation when density functions of jump processes have polynomials, Gaussian and exponential.…”

Section: Introductionmentioning

confidence: 99%

Interest Rate Modelling in the Presence of Discontinuities and its Sensitivities

Udoye

Ogbaji

Akinola

et al. 2021

Annals of Science and Technology

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Interest rate paths experience discontinuities in the presence of certain factors. Much of the work on interest rate modelling has no consideration for effects of such unexpected occurrences in real life. A good risk manager needs to have a better model that considers possibility of unexpected occurrences. In this paper, we discuss step by step extension of Vasicek model to both jump model and jumpdiffusion model using Itô’s formula as the major tool. We also derive the greeks ‘delta’ and ‘vega’ that measure sensitivity of the interest rate with respect to both changes in its initial interest rate and volatility in an interbank rate.

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Option Pricing for Coffee Price Using Jump Diffusion Models

Cited by 4 publications

References 11 publications

Aplikasi Geometric Brownian Motion dengan Jump Diffusion dalam Memprediksi Harga Saham Liquid Quality 45

Aplikasi Geometric Brownian Motion dengan Jump Diffusion dalam Memprediksi Harga Saham Liquid Quality 45

Jump-Diffusion Process of Interest Rates and the Malliavin Calculus

Interest Rate Modelling in the Presence of Discontinuities and its Sensitivities

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