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
收藏
页码：651 / 660
页数：10
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