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  • 标题:Stochastic Volatility Jump-Diffusion Model for Option Pricing
  • 本地全文:下载
  • 作者:Nonthiya Makate ; Pairote Sattayatham
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2011
  • 卷号:1
  • 期号:3
  • 页码:90-97
  • DOI:10.4236/jmf.2011.13012
  • 出版社:Scientific Research Publishing
  • 摘要:An 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.
  • 关键词:Jump-Diffusion Model; Stochastic Volatility; Characteristic Function; Option Pricing
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