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
相关论文
共 50 条
  • [41] Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity
    Chang, Ying
    Wang, Yiming
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020 (2020)
  • [42] Option pricing in a regime switching stochastic volatility model
    Biswas, Arunangshu
    Goswami, Anindya
    Overbeck, Ludger
    [J]. STATISTICS & PROBABILITY LETTERS, 2018, 138 : 116 - 126
  • [43] Knightian uncertainty based option pricing with stochastic volatility
    School of Economics and Management, Beihang University, Beijing 100191, China
    [J]. Xitong Gongcheng Lilum yu Shijian, 2012, 6 (1175-1183):
  • [44] Option pricing under hybrid stochastic and local volatility
    Choi, Sun-Yong
    Fouque, Jean-Pierre
    Kim, Jeong-Hoon
    [J]. QUANTITATIVE FINANCE, 2013, 13 (08) : 1157 - 1165
  • [45] A new approach for option pricing under stochastic volatility
    Carr P.
    Sun J.
    [J]. Review of Derivatives Research, 2007, 10 (2) : 87 - 150
  • [46] Empirical performance of stochastic volatility option pricing models
    Stilger, Przemyslaw S.
    Ngoc Quynh Anh Nguyen
    Tri Minh Nguyen
    [J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2021, 8 (01)
  • [47] PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL
    Li, Pengshi
    [J]. E & M EKONOMIE A MANAGEMENT, 2019, 22 (04): : 134 - 144
  • [48] OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL
    Han, Y.
    Li, Z.
    Liu, C.
    [J]. ANZIAM JOURNAL, 2021, 63 (02): : 123 - 142
  • [49] A Stochastic Volatility Model With Realized Measures for Option Pricing
    Bormetti, Giacomo
    Casarin, Roberto
    Corsi, Fulvio
    Livieri, Giulia
    [J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020, 38 (04) : 856 - 871
  • [50] Numerical solution for option pricing with stochastic volatility model
    Mariani, Andi
    Nugrahani, Endar H.
    Lesmana, Donny C.
    [J]. WORKSHOP AND INTERNATIONAL SEMINAR ON SCIENCE OF COMPLEX NATURAL SYSTEMS, 2016, 31
12345