شماره ركورد كنفرانس :
5263
عنوان مقاله :
Estimating The Parameters of 3/2 Stochastic Volatility Model With Jump
پديدآورندگان :
Garshasbi Pooya pooya_garshasebi@atu.ac.ir Department of Mathematics, Allameh Tabataba’i University, Tehran, Iran. , Safdari-Vaighani Ali asafdari@atu.ac.ir Department of Mathematics, Allameh Tabataba’i University, Tehran, Iran.
كليدواژه :
Black , Scholes model , Stochastic volatility , 3 , 2 plus jump model
عنوان كنفرانس :
54 امين كنفرانس رياضي ايران
چكيده فارسي :
The empirical observation of financial markets implies a more complex model than Black-Scholes PDEs. In this paper, we considered the 3/2 stochastic volatility plus jump model for option pricing as well as the pure-diffusion 3/2 stochastic volatility model. The numerical investigation shows that the 3/2 model with a jump captures the market features due to the presence of a jump. However, more estimating parameters are required in comparison to the pure diffusion model.
