Option Pricing for Jump in Volatility and Stochastic Intensity

被引：0
|
作者：
Makate, Nonthiya [1 ]
Thongkamhaeng, Wasana [1 ]
Sengpanit, Amaraporn [1 ]
机构：
[1] Rajamangala Univ Technol Thanyaburi, Fac Sci & Technol, Pathum Thani, Thailand
来源：
2015 INTERNATIONAL CONFERENCE ON RESEARCH AND EDUCATION IN MATHEMATICS (ICREM7) | 2015年
关键词：
Jump-diffusion model; Stochastic volatility; Intensity; Characteristic functions;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with stochastic volatility and stochastic intensity. The stochastic volatility follows the jump-diffusion. We find a formulation for the European-style option in terms of characteristic functions. The closed-form formulae of pricing for option are derived.
引用
收藏
页码：103 / 107
页数：5
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