A Simple Model for Option Pricing with Jumping Stochastic Volatility

DOI10.1142/S0219024998000266zbMath0961.91018MaRDI QIDQ2703110

Stefano Herzel

Publication date: 6 June 2001

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes modeljumps in volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Robustness of the Black and Scholes Formula
• DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Bond Market Structure in the Presence of Marked Point Processes
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous

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