Title :
Mean reverting process with jumps under stochastic volatility and stochastic intensity
Author :
Nonthiya Makate;Wasana Thongkamhaeng;Amaraporn Sengpanit
Author_Institution :
Faculty of Science and Technology, Rajamangala University of Technology Thanyaburi, Pathum Thani, Thailand
Abstract :
In this paper, the asset price follows mean reverting and jump diffusion with stochastic volatility and stochastic intensity. We find a formulation for the option pricing in terms of characteristic function.
Keywords :
"Stochastic processes","Pricing","Yttrium","Electronic mail","Mathematical model","Fourier transforms","Dynamics"
Conference_Titel :
Science and Technology (TICST), 2015 International Conference on
DOI :
10.1109/TICST.2015.7369402
