Option Pricing with Stochastic Volatility and Jump Diffusion Processes
Option pricing by the use of Black Scholes Merton (BSM) model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The...
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| Format: | Article |
| Language: | English |
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General Association of Economists from Romania
2006-03-01
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| Series: | Theoretical and Applied Economics |
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| Online Access: |
http://store.ectap.ro/articole/65.pdf
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