2015•Unpublished venueRequires access
Option pricing for jump in volatility and stochastic intensity
Nonthiya Makate, Wasana Thongkamhaeng, Amaraporn Sengpanit
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Abstract
An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with stochastic volatility and stochastic intensity. The stochastic volatility follows the jump-diffusion. We find a formulation for the European-style option in terms of characteristic functions. The closed-form formulae of pricing for option are derived.