Arunachalam, V.; Blanco, L.; Dharmaraja, S. - In: International Journal of Financial Markets and Derivatives 2 (2011) 3, pp. 223-235
Volatility has a significant role to play in the determination of risk and in the valuation of options and other financial derivatives. The well-known Black-Scholes model for the financial derivatives deals with constant volatility. This paper presents a new model based on shot noise behaviour,...