Add to ORKGAn alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with square root stochastic volatility. The stochastic volatility follows the jump-diffusion with square root and mean reverting. We find a formulation for the European-style option in terms of characteristic functions of tail probabilities
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
This paper considers the problem of pricing American options when the dynamics of the underlying are...
The Black-Scholes model has been widely used in option pricing for roughly four decades. However, th...
Abstract An alternative option pricing model is proposed, in which the asset prices follow the jump-...
We extend the stochastic volatility model in Moretto et al. [MPT05] to a stochastic volatility jump-...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
In this article, we provide representations of European and American exchange option prices under st...
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...
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to ...
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 paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
This paper considers the problem of pricing American options when the dynamics of the underlying are...
The Black-Scholes model has been widely used in option pricing for roughly four decades. However, th...
Abstract An alternative option pricing model is proposed, in which the asset prices follow the jump-...
We extend the stochastic volatility model in Moretto et al. [MPT05] to a stochastic volatility jump-...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
In this article, we provide representations of European and American exchange option prices under st...
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...
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to ...
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 paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
This paper considers the problem of pricing American options when the dynamics of the underlying are...
The Black-Scholes model has been widely used in option pricing for roughly four decades. However, th...