A Simple Model for Option Pricing with Jumping Stochastic Volatility
From MaRDI portal
Publication:2703110
DOI10.1142/S0219024998000266zbMath0961.91018MaRDI QIDQ2703110
Publication date: 6 June 2001
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Volatility and dividend risk in perpetual American options, On the Problem of Pricing a Double Barrier Option in a Modified Black-Scholes Environment, A new exact solution for pricing European options in a two-state regime-switching economy, Perpetual American vanilla option pricing under single regime change risk: an exhaustive study, Correlations in DNA sequences, Use of Mutual Information Function and Power Spectra for Analyzing the Structure of Some Prokaryotic Genomes
Cites Work
- The Pricing of Options and Corporate Liabilities
- Robustness of the Black and Scholes Formula
- DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Bond Market Structure in the Presence of Marked Point Processes
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Option pricing when underlying stock returns are discontinuous