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- W2220100805 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." @default.
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- W2220100805 date "2015-08-01" @default.
- W2220100805 modified "2023-09-23" @default.
- W2220100805 title "Option pricing for jump in volatility and stochastic intensity" @default.
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- W2220100805 doi "https://doi.org/10.1109/icrem.2015.7357035" @default.
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