Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market

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Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market

We study the pricing of American options in an incomplete market in which the dynamics of the underlying risky asset is driven by a jump diffusion process with stochastic volatility. By employing a risk-minimization criterion, we obtain the Radon-Nikodym derivative for the minimal martingale measure...

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Bibliographic Details
Main Authors:	Li, S., Zhou, Y., Ruan, X., Wiwatanapataphee, B
Format:	Journal Article
Published:	Hindawi Publishing Corporation 2014
Online Access:	http://hdl.handle.net/20.500.11937/33888

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