Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance

ISSN Print: 2162-2434
ISSN Online: 2162-2442
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"Stochastic Volatility Jump-Diffusion Model for Option Pricing"
written by Nonthiya Makate, Pairote Sattayatham,
published by Journal of Mathematical Finance, Vol.1 No.3, 2011

has been cited by the following article(s):

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[1]	Endogenous Explanation for Random Fluctuation of Stock Price and Its Application: Based on the View of Repeated Game with Asymmetric Information
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[2]	Entropic Dynamics of Exchange Rates and Options
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[3]	Entropic Dynamics of Stocks and European Options
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[4]	Solving selected problems on American option pricing with the method of lines
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[5]	Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence
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[6]	MATHEMATICAL STUDY OF RISK IN FINANCIAL MARKETS
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[7]	ジャンプ拡散過程を用いた株価モデルの提案とその確率的ボラティリティ推定への応用について
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[8]	Pricing American Options with Jumpsin Asset and Volatility
	QUANTITATIVE FINANCE RESEARCH CENTRE, 2018

[9]	Equilibrium Equity Premium in a Semi Martingale Market When Jump Amplitudes Follow a Binomial Distribution
	2018

[10]	Pricing American options with jumps in asset and volatility
	2018

[11]	Parameter Estimation for the Continuous Time Stochastic Logistic Diffusion Model
	2017

[12]	A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes
	Journal of Mathematical Finance, 2016

[13]	Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
	Historical Biology, 2016

[14]	Stochastic Volatility Double Jump-Diffusions Model: The Importance of Distribution Type of Jump Amplitude
	Available at SSRN 2568260, 2015

[15]	Option pricing for jump in volatility and stochastic intensity
	Research and Education in Mathematics (ICREM7), 2015 International Conference on, 2015

[16]	OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES
	J. Korean Soc. Math. Educ. Ser. B: Pure Appl. Math. ISSN (Print), 2014

[17]	Pricing Options on Foreign Currency with a Preset Exchange Rate
	Journal of Mathematical Finance, 2012

[1]	Entropic Dynamics of Jump-Diffusion Option Pricing Entropy, 2026 DOI:10.3390/e28080914

[2]	Endogenous Explanation for Random Fluctuation of Stock Price and Its Application: Based on the View of Repeated Game with Asymmetric Information Journal of Applied Mathematics and Physics, 2021 DOI:10.4236/jamp.2021.94050

[3]	Entropic Dynamics of Exchange Rates and Options Entropy, 2019 DOI:10.3390/e21060586

[4]	Entropic Dynamics of Stocks and European Options Entropy, 2019 DOI:10.3390/e21080765

[5]	Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence The North American Journal of Economics and Finance, 2019 DOI:10.1016/j.najef.2019.101112

[6]	A NEW TYPE OF JUMP DIFFUSION MODEL OF STOCK PRICE AND ITS APPLICATION TO ESTIMATION OF STOCHASTIC VOLATILITY Journal of Japan Society of Civil Engineers, Ser. A2 (Applied Mechanics (AM)), 2019 DOI:10.2208/jscejam.75.2_I_25

[7]	Equilibrium Equity Premium in a Semi Martingale Market When Jump Amplitudes Follow a Binomial Distribution Journal of Mathematical Finance, 2018 DOI:10.4236/jmf.2018.83038

[8]	Pricing American Options With Jumps in Asset and Volatility SSRN Electronic Journal , 2018 DOI:10.2139/ssrn.3272506

[9]	Parameter Estimation for the Continuous Time Stochastic Logistic Diffusion Model Open Journal of Statistics, 2017 DOI:10.4236/ojs.2017.76072

[10]	Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude International Journal of Computer Mathematics, 2017 DOI:10.1080/00207160.2016.1158814

[11]	A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes Journal of Mathematical Finance, 2016 DOI:10.4236/jmf.2016.61020

[12]	Option pricing for jump in volatility and stochastic intensity 2015 International Conference on Research and Education in Mathematics (ICREM7), 2015 DOI:10.1109/ICREM.2015.7357035

[13]	Stochastic Volatility Double Jump-Diffusions Model: The Importance of Distribution Type of Jump Amplitude SSRN Electronic Journal, 2015 DOI:10.2139/ssrn.2568260

[14]	Pricing Options on Foreign Currency with a Preset Exchange Rate Journal of Mathematical Finance, 2012 DOI:10.4236/jmf.2012.23024

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