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Title: Jump-diffusion with stochastic volatility and intensity
Authors: Montakan thongpan, Sarun Wongwai and Nonthiya Makate
Keywords: Jump-diffusion model
Stochastic Volatility
Characteristic functions
Issue Date: 11-Feb-2014
Publisher: Rajamangala University of Technology Thanyaburi. Faculty of Sciences and Technology
Abstract: An alternative option pricing model is proposed, in which the asset prices follow the jump diffusion with stochastic volatility and intensity. The stochastic volatility follows the jump-diffusion. We find a formulation for the European-style option in terms of characteristic functions.
Description: The 15th International Conference of International Academy of Physical Sciences
Appears in Collections:ประชุมวิชาการ (Proceedings - SCI)

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