Option Pricing with Stochastic Volatility and Jump Diffusion Processes
Option pricing by the use of Black Scholes Merton (BSM) model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2006-05-01
|
| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: | http://www.ectap.ro/articole/65.pdf |