Add to ORKGWe extend the stochastic volatility model in Moretto et al. [MPT05] to a stochastic volatility jump-diffusion model. We provide a closed-form solution for the price of European-type options and develop a Monte Carlo method to approximate the price of more complex options. Key words: Monte Carlo simulation, option pricing, stochastic volatility jump-diffusion model
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to ...
The Black-Scholes model has been widely used in option pricing for roughly four decades. However, th...
In this article, we propose an analytical approximation for the pricing of European op- tions for so...
Abstract An alternative option pricing model is proposed, in which the asset prices follow the jump-...
An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
In this article, we provide representations of European and American exchange option prices under st...
International audienceIn this paper, we are interested in pricing options (European and Quanto) by a...
International audienceIn this paper, we are interested in pricing options (European and Quanto) by a...
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to ...
The Black-Scholes model has been widely used in option pricing for roughly four decades. However, th...
In this article, we propose an analytical approximation for the pricing of European op- tions for so...
Abstract An alternative option pricing model is proposed, in which the asset prices follow the jump-...
An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
In this article, we provide representations of European and American exchange option prices under st...
International audienceIn this paper, we are interested in pricing options (European and Quanto) by a...
International audienceIn this paper, we are interested in pricing options (European and Quanto) by a...
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to ...
The Black-Scholes model has been widely used in option pricing for roughly four decades. However, th...
In this article, we propose an analytical approximation for the pricing of European op- tions for so...