OPTION PRICING FOR A JUMP DIFFUSION MODEL WITH FRACTIONAL

Authors

  • A. Intarasit Department of Mathematics and Computer Science, Prince of Songkla University, Pattani Campus, Thailand
  • P. Sattayatham School of Mathematics, SUT, Thailand

Keywords:

Fractional Brownian motion, Approximate approach, Stochastic Volatility, Jump diffusion model

Abstract

An alternative stochastic volatility model with jumps is proposed, in which stock prices follow a jump diffusion model and their stochastic volatility follows a fractional stochastic volatility model. By using an approximate method, we find a formulation for the European-style option in terms of the characteristic function of tail probabilities.

Additional Files

Published

12/21/2011

How to Cite

Intarasit, A., & Sattayatham, P. (2011). OPTION PRICING FOR A JUMP DIFFUSION MODEL WITH FRACTIONAL. Journal of Nonlinear Analysis and Optimization: Theory & Applications (JNAO), 2(2), 239–251. retrieved from https://ph03.tci-thaijo.org/index.php/jnao/article/view/2633

Issue

Vol. 2 No. 2 (2011): JNAO

Section

Research Articles

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Creative Commons License

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.