Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility. We assume, in addition, that the stochastic interest rate is governed by the Cox-- R...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Mahmut Akyigit
2018-12-01
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| Series: | Journal of Mathematical Sciences and Modelling |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/download/article-file/612885 |