Zaevski, Tsvetelin S.; Kim, Young Shin; Fabozzi, Frank J. - In: International Review of Financial Analysis 31 (2014) C, pp. 101-108
The purpose of this paper is to introduce a stochastic volatility model for option pricing that exhibits Lévy jump behavior. For this model, we derive the general formula for a European call option. A well known particular case of this class of models is the Bates model, for which the jumps are...