Author : Guoqing Yan
Publisher :
ISBN 13 : 9781109872637
Total Pages : 114 pages
Book Rating : 4.8/5 (726 download)
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.