Option Pricing under a Mean Reverting Process with Jump-Diffusion and Jump Stochastic Volatility

被引：0

作者：

Makate, Nonthiya ^{[1
]}

Sattayatham, Pairote ^{[1
]}

机构：

[1] Suranaree Univ Technol, Sch Math, Inst Sci, Nakhon Ratchasima, Thailand

来源：

THAI JOURNAL OF MATHEMATICS | 2012年 / 10卷 / 03期

关键词：

jump-diffusion model; stochastic volatility; characteristic function; option pricing; mean reverting;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.

引用

页码：651 / 660

页数：10

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