Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility. We assume, in addition, that the stochastic interest rate is governed by the Cox-- R...
I tiakina i:
| Ngā kaituhi matua: | , , |
|---|---|
| Hōputu: | Artigo |
| Reo: | Inglês |
| I whakaputaina: |
Mahmut Akyigit
2018-12-01
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| Rangatū: | Journal of Mathematical Sciences and Modelling |
| Ngā marau: | |
| Urunga tuihono: | https://dergipark.org.tr/tr/download/article-file/612885 |
| Ngā Tūtohu: |
Kāore He Tūtohu, Me noho koe te mea tuatahi ki te tūtohu i tēnei pūkete!
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