Option Pricing for a Stochastic-volatility Jump-diffusion Model
Author | : Guoqing Yan |
Publisher | : |
Total Pages | : 114 |
Release | : 2006 |
ISBN-10 | : 1109872631 |
ISBN-13 | : 9781109872637 |
Rating | : 4/5 (637 Downloads) |
Book Synopsis Option Pricing for a Stochastic-volatility Jump-diffusion Model by : Guoqing Yan
Download or read book Option Pricing for a Stochastic-volatility Jump-diffusion Model written by Guoqing Yan and published by . This book was released on 2006 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the accurate and fast European option pricing formulas, we calibrate the models to S&P 500 Index option quotes by least squares method. Spot variance and structural parameters for different models including Black-Scholes, Stochastic-Volatility. SVJD-Uniform, SVJD-Normal, SVJD-DbExp are estimated. Fitting performance of different models are compared and our proposed SVJD-Uniform model is found to fit the market data the best.