Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods

DOI10.1016/j.physa.2019.123100OpenAlexW2980511790WikidataQ127000702 ScholiaQ127000702MaRDI QIDQ2067122

Moawia Alghalith

Publication date: 17 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.123100

zbMATH Keywords

stochastic volatilityoption pricingclosed-form solutionjump diffusionthe Black-Scholes PDE

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (2)

Option pricing under time interval driven model ⋮ Quantized noncommutative Riemann manifolds and stochastic processes : the theoretical foundations of the square root of Brownian motion

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