OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES

DOI10.7468/JKSMEB.2014.21.4.295zbMath1311.60063OpenAlexW2043683353MaRDI QIDQ2940221

Ju Hong Kim

Publication date: 26 January 2015

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2014.21.4.295

zbMATH Keywords

stochastic differential equationcharacteristic functionjump-diffusionstochastic volatility modelrisk-neutral option pricing

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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