Stochastic Volatility Jump-Diffusion Model for Option Pricing
نویسندگان
چکیده
where is the Poisson process which corresponds to the underlying asset t , t is the jump size of asset price return with log normal distribution and t means that there is a jump the value of the process before the jump is used on the left-hand side of the formula. Moreover, in 2003, Eraker Johannes and Polson [3] extended Bate’s work by incorporating jumps in volatility and their model is given by
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