Pricing Options Under Simultaneous Stochastic Volatility and Jumps : A Simple Closed-Form Formula Without Numerical/Computational Methods

We overcome the limitations of the previous literature in the European options pricing. In doing so, we provide a closed-form formula that doesn't require any numerical/computational methods. The formula is as simple as the classical Black-Scholes pricing formula. In addition, we simultaneously include jumps and stochastic volatility

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Year of publication:	2019
Authors:	Alghalith, Moawia
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 24, 2018 erstellt
Other identifiers:	10.2139/ssrn.3306224 [DOI]
Classification:	G0 - Financial Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012896246