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The Pricing of Options in a Jump-Diffusion Model with Stochastic Volatility

Author: LiZuo
Tutor: ChenShuang
School: Hebei University of Technology
Course: Applied Mathematics
Keywords: jump-diffusion stochastic volatility option pricing theactuarial approach
CLC: F830.9
Type: Master's thesis
Year: 2011
Downloads: 27
Quote: 0
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Abstract


The aim of this paper is to study jump-di?usion model with stochasticvolatility for option pricing. We get a jump-di?usion option pricing modelwith stochastic volatility by adding a compound Poisson process to stockprice process based on the Heston stochastic volatility model. We derivedthe European call option pricing formula using Fourier inverse transforma-tion and change of measure under the assumption of exist of risk-neutralmeasure,then we get two inferences. Finally,We derived the actuarial pric-ing formula and two inferences of European call option by using Fourierinverse transformation and Mathematical expectation under no economicassumptions.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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