• DocumentCode
    3712271
  • Title

    Option pricing for jump in volatility and stochastic intensity

  • Author

    Nonthiya Makate;Wasana Thongkamhaeng;Amaraporn Sengpanit

  • Author_Institution
    Faculty of Science and Technology, Rajamangala University of Technology Thanyaburi, Pathum Thani, Thailand
  • fYear
    2015
  • Firstpage
    103
  • Lastpage
    107
  • Abstract
    An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with stochastic volatility and stochastic intensity. The stochastic volatility follows the jump-diffusion. We find a formulation for the European-style option in terms of characteristic functions. The closed-form formulae of pricing for option are derived.
  • Keywords
    "Stochastic processes","Mathematical model","Europe","Yttrium","Education","Pricing"
  • Publisher
    ieee
  • Conference_Titel
    Research and Education in Mathematics (ICREM7), 2015 International Conference on
  • Type

    conf

  • DOI
    10.1109/ICREM.2015.7357035
  • Filename
    7357035
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3712271