Jump-diffusion with stochastic volatility and intensity

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DC Field	Value	Language
dc.contributor.author	Montakan thongpan, Sarun Wongwai and Nonthiya Makate
dc.date.accessioned	2014-02-11T08:01:55Z
dc.date.accessioned	2020-09-24T04:45:58Z	-
dc.date.available	2014-02-11T08:01:55Z
dc.date.available	2020-09-24T04:45:58Z	-
dc.date.issued	2014-02-11
dc.identifier.uri	http://www.repository.rmutt.ac.th/dspace/handle/123456789/1309	-
dc.description	The 15th International Conference of International Academy of Physical Sciences	en_US
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Rajamangala University of Technology Thanyaburi. Faculty of Sciences and Technology
dc.subject	Jump-diffusion model	en_US
dc.subject	Stochastic Volatility	en_US
dc.subject	Intensity	en_US
dc.subject	Characteristic functions	en_US
dc.title	Jump-diffusion with stochastic volatility and intensity	en_US
dc.type	Proceedings	en_US
Appears in Collections:	ประชุมวิชาการ (Proceedings - SCI)

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