D'IPPOLITI, FERNANDA; MORETTO, ENRICO; PASQUALI, SARA; … - In: International Journal of Theoretical and Applied … 13 (2010) 06, pp. 901-929
A stochastic volatility jump-diffusion model for pricing derivatives with jumps in both spot return and volatility underlying dynamics is presented. This model admits, in the spirit of Heston, a closed-form solution for European-style options. The structure of the model is also suitable to...