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C. W. Wang, C. C.Yin and E. Q. Li, “On the Classical Risk Model with Credit and Debit Interests under Absolute Ruin,” Statistics and Probability Letters, Vol. 80, No. 15, 2010, pp. 427-436. doi:10.1016/j.spl.2009.11.020

has been cited by the following article:

• TITLE: Stochastic Volatility Jump-Diffusion Model for Option Pricing

  AUTHORS: Nonthiya Makate, Pairote Sattayatham

  KEYWORDS: Jump-Diffusion Model, Stochastic Volatility, Characteristic Function, Option Pricing

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.3, November 8, 2011

  ABSTRACT: An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with square root stochastic volatility. The stochastic volatility follows the jump-diffusion with square root and mean reverting. We find a formulation for the European-style option in terms of characteristic functions of tail probabilities.