Pricing Options Under Simultaneous Stochastic Volatility and Jumps: A Simple Closed-Form Formula Without Numerical/Computational Methods-Reference-Cited by-同舟云学术

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

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Alghalith Moawia

Publisher

Elsevier BV

Reference14 articles.

1. A note on a new approach to both price and volatility jumps: An application to the portfolio model;M Alghalith;The ANZIAM Journal,2016

2. Numerically pricing American options under the generalized mixed fractional Brownian motion model;W T Chen;Physica A: Statistical Mechanics & Its Applications,2016

3. Numerical proof of existence of fractional powers of Wiener processes

4. Noncommutative Geometry and Stochastic Processes

5. Option pricing beyond BlackScholes based on double-fractional diffusion;H Kleinert;Physica A Statistical Mechanics & Its Applications,2016

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A theorem of the Square Root of the Brownian Motion;SSRN Electronic Journal;2019

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