Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates
β Scribed by George J. Jiang
- Book ID
- 110882152
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 335 KB
- Volume
- 3
- Category
- Article
- ISSN
- 1369-412X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract By applying the HeathβJarrowβMorton (HJM) framework, an analytical approximation for pricing American options on foreign currency under stochastic volatility and double jump is derived. This approximation is also applied to other existing models for the purpose of comparison. There is e
This study proposes a double-jump stochastic volatility model with stochastic interest rates to price capped equity swaps and other multi-period derivative securities. Closed-form solutions for capped equity swaps with a fixed or variable notional principle are derived. In addition, numerical exampl