Please use this identifier to cite or link to this item:
http://www.repository.rmutt.ac.th/xmlui/handle/123456789/1309| Title: | Jump-diffusion with stochastic volatility and intensity |
| Authors: | Montakan thongpan, Sarun Wongwai and Nonthiya Makate |
| Keywords: | Jump-diffusion model Stochastic Volatility Intensity Characteristic functions |
| Issue Date: | 11-Feb-2014 |
| Publisher: | Rajamangala University of Technology Thanyaburi. Faculty of Sciences and Technology |
| Abstract: | An alternative option pricing model is proposed, in which the asset prices follow the jump diffusion with stochastic volatility and intensity. The stochastic volatility follows the jump-diffusion. We find a formulation for the European-style option in terms of characteristic functions. |
| Description: | The 15th International Conference of International Academy of Physical Sciences |
| URI: | http://www.repository.rmutt.ac.th/dspace/handle/123456789/1309 |
| Appears in Collections: | ประชุมวิชาการ (Proceedings - SCI) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 09-Jump-Diffusion with Stochastic Volatility and Intensity.pdf | Jump-diffusion with stochastic volatility and intensity | 879.76 kB | Adobe PDF | View/Open |
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