Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate
(2017)
Journal Article
Chen, R., Li, Z., Zeng, L., Yu, L., Qi, L., & Liu, J. (2017). Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate. Journal of management science and engineering, 2(4), 252-289. https://doi.org/10.3724/SP.J.1383.204012
This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SIR), stochastic volatility (SV), and double exponential jump into the jump‐diffusion settings. The model comprehensively considers the leptokurtosis an... Read More about Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate.