We present a European option pricing when the underlying asset price dynamics is governed by a linear combination of the time-change Lévy process and a stochastic interest rate which follows the Vasicek proc-ess. We obtain an explicit formula for the European call option in term of the characteristic function of the tail probabilities
In this paper, we derive pricing equations for the European call option under Scott’s stochastic vol...
This report investigates several stochastic processes used for pricing European call options. The pu...
In this paper, a closed-form pricing formula for European options in the form of an infinite series ...
In this paper, we investigate the European option pricing when the riskfree interest rate is stochas...
Modern financial engineering is a part of applied mathematics that studies market models. Each model...
In this paper, an analytical approximation formula for pricing European options is obtained under a ...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
This paper derives a closed-form solution for the European call option price when the volatility of ...
In this paper, we analyze the pricing of European option when the riskfree interest rate follows a j...
In this thesis, we present two different approaches for the stochastic volatility and stochastic int...
In this paper, the valuation problem of a European call option in the presence of both stochastic vo...
Heston’s stochastic volatility model is frequently employed by finance researchers and practitioners...
We examine European call options in the jump-diffusion version of the Double Heston stochastic volat...
Financial Markets is an interesting wide range area of research in Financial Engineering. In this th...
This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SI...
In this paper, we derive pricing equations for the European call option under Scott’s stochastic vol...
This report investigates several stochastic processes used for pricing European call options. The pu...
In this paper, a closed-form pricing formula for European options in the form of an infinite series ...
In this paper, we investigate the European option pricing when the riskfree interest rate is stochas...
Modern financial engineering is a part of applied mathematics that studies market models. Each model...
In this paper, an analytical approximation formula for pricing European options is obtained under a ...
We investigate the European call option pricing problem under the fractional stochastic volatility m...
This paper derives a closed-form solution for the European call option price when the volatility of ...
In this paper, we analyze the pricing of European option when the riskfree interest rate follows a j...
In this thesis, we present two different approaches for the stochastic volatility and stochastic int...
In this paper, the valuation problem of a European call option in the presence of both stochastic vo...
Heston’s stochastic volatility model is frequently employed by finance researchers and practitioners...
We examine European call options in the jump-diffusion version of the Double Heston stochastic volat...
Financial Markets is an interesting wide range area of research in Financial Engineering. In this th...
This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SI...
In this paper, we derive pricing equations for the European call option under Scott’s stochastic vol...
This report investigates several stochastic processes used for pricing European call options. The pu...
In this paper, a closed-form pricing formula for European options in the form of an infinite series ...