Option Pricing Model Based on the Stochastic Volatility and Jump Diffusion Process

Option Pricing Model Based on the Stochastic Volatility and Jump Diffusion Process

Although the Black and Scholes (1973) model achieved great success in option pricing theory, the two obvious phenomena have received much attention in past decades (Kou, 2002). One is the asymmetric leptokurtic features; the other is the volatility “smiles”. To modify the Black and Scholes (1973) mo...

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Bibliographic Details
Main Author: Liu, Xudong
Format: Dissertation (University of Nottingham only)
Language:English
Published: 2014
Online Access:https://eprints.nottingham.ac.uk/27402/

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