Stochastic Volatility Double Jump-diffusions Model:the Importance of Distribution Type of Jump Ampli

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：pazixu

【摘要】

：

　　This research examines if there exists an ideal distribution for jump amplitude in the sense that with this distribution,the stochastic volatility double ju

【作者】

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SUNYoufa;

【机构】

：

Guangdong Univ.of Tech.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

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2015年期

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　　This research examines if there exists an ideal distribution for jump amplitude in the sense that with this distribution,the stochastic volatility double jump-diffusions(SVJJ)model would potentially have a superior option market fit.We provide a general methodology for pricing vanilla options via Fourier cosine series expansion method,in the setting of Heston's SVJJ(HSVJJ)model that may allow a range of jump amplitude distributions.

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Stochastic Volatility Double Jump-diffusions Model:the Importance of Distribution Type of Jump Ampli

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