Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps

We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes. Substituting the Brownian motion in the Black–Scholes model with a stochastic string leads to a class of...

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Prif Awduron:	Alberto Bueno-Guerrero, Steven P. Clark
Fformat:	Artigo
Iaith:	Inglês
Cyhoeddwyd:	MDPI AG 2023-12-01
Cyfres:	Mathematics
Pynciau:	option pricing stochastic strings Lévy processes
Mynediad Ar-lein:	https://www.mdpi.com/2227-7390/12/1/82
Tagiau:	Ychwanegu Tag Dim Tagiau, Byddwch y cyntaf i dagio'r cofnod hwn!