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...
Main Author: | Radu Lupu |
---|---|
Format: | Article |
Language: | English |
Published: |
General Association of Economists from Romania
2006-03-01
|
Series: | Theoretical and Applied Economics |
Subjects: | |
Online Access: |
http://store.ectap.ro/articole/65.pdf
|
Similar Items
-
Option Pricing with Stochastic Volatility and Jump Diffusion Processes
by: Radu Lupu
Published: (2006-05-01) -
Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks
by: Zhe Li
Published: (2020-01-01) -
Subordinate Shares Pricing under Fractional-Jump Heston Model
by: Omid Jenabi, et al.
Published: (2019-11-01) -
Numerical methods for option pricing under jump-diffusion models.
Published: (2010) -
Option Pricing with Long Memory Stochastic Volatility Models
by: Tong, Zhigang
Published: (2012)