[
Bates, D.S., 1996, Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. The Review of Financial Studies, 9(1): 69-107.10.1093/rfs/9.1.69
]Search in Google Scholar
[
Bavouzet-Morel, M-P., Messaoud, M, 2006, Computation of greeks using Malliavin calculus in jump-type market models. Electronic Journal of Probability, 10: 276-300.10.1214/EJP.v11-314
]Search in Google Scholar
[
Berhane, T., Adam, M., Haile, E., 2019, Option pricing on commodity prices using jump diffusion models. International Journal of Mathematical Modelling & Computations, 9(1): 17-37.10.5814/j.issn.1674-764x.2020.01.011
]Search in Google Scholar
[
Buraschi, A., Jiltsov, A., 2007, Habit formulation and macroeconomic models of the term structure of interest rates. Journal of Finance, 62(6): 3009-3063.10.1111/j.1540-6261.2007.01299.x
]Search in Google Scholar
[
Carr, P., Mayo, A., 2007, On the numerical evaluation of option prices in jump-diffusion processes. European Journal of Finance, 13(4): 353-372.10.1080/13518470701201512
]Search in Google Scholar
[
Chang, Y., Wang, Y., 2020, Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity. Mathematical Problems in Engineering, 2020, Article ID 2743676, 13 pages. https://doi.org/10.1155/2020/274367610.1155/2020/2743676
]Search in Google Scholar
[
Cont, R., Tankov, P., 2004, Financial modelling with jump processes. Chapman & Hall/CRC Financial Mathematics Series.Chapman & Hall/CRC, BocaRaton, FL.
]Search in Google Scholar
[
Feng, L., Linetsky, V., 2008, Pricing options in jump-diffusion models: An extrapolation approach. Operations Research, 56(2): 304-325.10.1287/opre.1070.0419
]Search in Google Scholar
[
Guo, Z-Y., 2021, Bias-correlated estimators for the Vasicek model: An application in risk measure estimation. Journal of Risk, 23(2): 71-104. https://doi:10.21314/JOR.2020.445.10.21314/JOR.2020.445
]Search in Google Scholar
[
Jiahui, Y., Shengwu, Z., Haitao, Z., Kaiqiang, G., 2019, Pricing vulnerable option under jump-diffusion model with incomplete information. Discrete Mathematics in Nature and Society, Article ID 5848375, 8 pages.10.1155/2019/5848375
]Search in Google Scholar
[
Kou, S. G., 2002, A jump-diffusion model for option pricing. Management Science, 48(8): 1086-1101.10.1287/mnsc.48.8.1086.166
]Search in Google Scholar
[
Kou, S. G., 2007, Jump-diffusion models for asset pricing in Financial Engineering. In: Birge, J. R. and Linetsky, V., editors. Financial Engineering, vol. 15 of Handbooks in Operations Research and Management Science.Elsevier, 73-116.10.1016/S0927-0507(07)15002-7
]Search in Google Scholar
[
Lau, K. J., Goh, Y. K., Lai, A. C., 2019, An empirical study on asymmetric jump-diffusion for option and annuity pricing. PLoS ONE, 14(5): e0216529. https://doi.org/10.1371/journal.pone.0216529.10.1371/journal.pone.0216529
]Search in Google Scholar
[
Merton, R. C., 1976, Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3: 125-144.10.1016/0304-405X(76)90022-2
]Search in Google Scholar
[
Novat, K., Charles, W. M., Masanja, V. G., 2019, Merton’s jump diffusion model: An application to stock markets of east African countries. Advances in Scientific Research & Engineering, 5(8): 15-24.10.31695/IJASRE.2019.33454
]Search in Google Scholar
[
Perelló, J., Montero, M., Masoliver, J., Farmer, J. D., Geanakoplos, J., 2020, Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation. Journal of Statistical Mechanics: Theory and Experiment, 043210. https://doi.org/10.1088/1742-5468/ab7a1e.10.1088/1742-5468/ab7a1e
]Search in Google Scholar
[
Rao, B. L.S., 2021, Maximum likelihood estimation in the mixed fractional Vasicek model. Journal of the Indian Society for Probability and Statistics. https://doi.org/10.1007/s41096-020-00094-8.10.1007/s41096-020-00094-8
]Search in Google Scholar
[
Salmi, S., Toivanen, J., 2011, An Iterative method for pricing American options under jump-diffusion models. Applied Numerical Mathematics, 61(7); 821-831.10.1016/j.apnum.2011.02.002
]Search in Google Scholar
[
Vasicek, O. A., 1977, An equilibrium characterization of the term structure. Journal of Financial Economics, 5: 177-188.10.1016/0304-405X(77)90016-2
]Search in Google Scholar
[
Verschuren, R. M., 2020, Stochastic interest rate modelling using a single or multiple curves: An empirical performance analysis of the Lévy forward price model. Quantitative Finance, 20(7): 1123-1148. https:10.1080/14697688.2020.172231810.1080/14697688.2020.1722318
]Search in Google Scholar
[
Wang, G., Wang, X., Liu, Z., 2017, Pricing vulnerable American put options under jump-diffusion processes. Probabilities in the Engineering & Informational Sciences, 31(2): 121-138.10.1017/S0269964816000486
]Search in Google Scholar
[
Wu, Y., Liang, X., 2018, Vasicek model with mixed-exponential jumps and its applications in finance and insurance. Advances in Difference Equations, 2018:138. 15pages. https://doi.org/10.1186/s13662-018-1593-z.10.1186/s13662-018-1593-z
]Search in Google Scholar
