Pricing stock options in a jump diffusion model with stochastic volatility and interest rates. Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods. Louis O. Scott. Mathematical Finance, , vol. 7, issue 4, Abstract: Fast closed form solutions for prices on European stock options are developed in a jump‐diffusion model.

Pricing stock options in a jump diffusion model with stochastic volatility and interest rates

Black Scholes Options Pricing Model (BSOPM)

Pricing stock options in a jump diffusion model with stochastic volatility and interest rates. distributed jump amplitudes in the stock price process. The stochastic-volatility follows a square-root and mean-reverting diffusion process. Fourier transforms are applied to solve the problem for volatility and stochastic-interest-rates models of Amin and. Ng [1] has little impact on short-term option prices, the interest rate.

Pricing stock options in a jump diffusion model with stochastic volatility and interest rates


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