Option Pricing under a Mean Reverting Process with Jump-Diffusion and Jump Stochastic Volatility
نویسندگان
چکیده
An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.
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