DocumentCode :
2165215
Title :
Option Pricing in Jump-Diffusion Models with Stochastic Volatility
Author :
Wang, Liugen ; Ding, Shanshan ; Li, Shenghong
Author_Institution :
Dept. of Math., Zhejiang Univ., Hangzhou, China
fYear :
2009
fDate :
20-22 Sept. 2009
Firstpage :
1
Lastpage :
4
Abstract :
Many underlying assets of option contracts exhibit both jump-diffusion process and stochastic volatility. This paper investigates the valuation of options when the underlying asset follows a jump-diffusion process with stochastic volatility ,which correlated asset return process. A closed form solution is derived for European options through the use of characteristic function and the Fourier transform. The proposed model allows the option pricing formula to capture the market implied volatility smile within a unified framework.
Keywords :
pricing; stochastic processes; European options; Fourier transform; asset return process; jump-diffusion models; option pricing; stochastic volatility; Closed-form solution; Contracts; Cost accounting; Discrete wavelet transforms; Fourier transforms; Mathematical model; Mathematics; Pricing; Stochastic processes; Zinc;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
Type :
conf
DOI :
10.1109/ICMSS.2009.5304459
Filename :
5304459
Link To Document :
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