STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING

DOI10.1142/S0219024999000212zbMath1153.91519MaRDI QIDQ3523537

George J. Jiang

Publication date: 3 September 2008

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

zbMATH Keywords

stochastic volatilityoption pricingjump-diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• ARCH modeling in finance. A review of the theory and empirical evidence
• Pricing options on securities with discontinuous returns
• THE GARCH OPTION PRICING MODEL
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• An Intertemporal General Equilibrium Model of Asset Prices
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous

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