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
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"
Conference_Titel :
Research and Education in Mathematics (ICREM7), 2015 International Conference on
DOI :
10.1109/ICREM.2015.7357035
