Pricing options under simultaneous stochastic volatility and jumps: A simple closed-form formula without numerical/computational methods

被引：7

作者：

Alghalith, Moawia ^{[1
]}

机构：

[1] UWI, Econ Dept, St Augustine, Trinidad Tobago

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2020年 / 540卷

关键词：

Option pricing; Stochastic volatility; Jump diffusion; Closed-form solution; The Black-Scholes PDE; DIFFUSION-MODEL; HESTON;

D O I：

10.1016/j.physa.2019.123100

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We overcome the limitations of the previous literature in the European options pricing. In doing so, we provide a closed-form formula that does not require any numerical/computational methods. The formula is as simple as the classical Black-Scholes pricing formula. In addition, we simultaneously include jumps and stochastic volatility. Our approach implies the introduction of a new class of stochastic processes that are based on Clifford algebras. The approach can be easily generalized to higher dimensional problems. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：4

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