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Exact Pricing with Stochastic Volatility and Jumps
Language: en
Pages: 25
Authors: Fernanda D'Ippoliti
Categories:
Type: BOOK - Published: 2014 - Publisher:

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A stochastic volatility jump-diffusion model for pricing derivatives with jumps in both spot returns and volatility dynamics is presented. This model admits, in
Exact and Approximated Option Pricing in a Stochastic Volatility Jump-Diffusion Model
Language: en
Pages: 10
Authors: Fernanda D'Ippoliti
Categories:
Type: BOOK - Published: 2014 - Publisher:

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We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jumps in both spot return and volatility dynamics. The model adm
Stochastic Volatility and Jump Diffusion Option Pricing Model
Language: en
Pages: 0
Authors: Aytekin Sari
Categories:
Type: BOOK - Published: 2021 - Publisher:

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Pricing Vix Options with Stochastic Volatility and Random Jumps
Language: en
Pages: 0
Authors: Guanghua Lian
Categories:
Type: BOOK - Published: 2012 - Publisher:

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This study presents an analytical exact solution for the price of VIX options under stochastic volatility model with simultaneous jumps in the asset price and v
Option Pricing for a Stochastic-volatility Jump-diffusion Model
Language: en
Pages: 114
Authors: Guoqing Yan
Categories:
Type: BOOK - Published: 2006 - Publisher:

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Based on the accurate and fast European option pricing formulas, we calibrate the models to S&P 500 Index option quotes by least squares method. Spot variance a