Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps

Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps

We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes. Substituting the Brownian motion in the Black–Scholes model with a stochastic string leads to a class of...

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Bibliographic Details
Main Authors: Alberto Bueno-Guerrero, Steven P. Clark
Format: Article
Language:English
Published: MDPI AG 2023-12-01
Series:Mathematics
Subjects:
option pricing
stochastic strings
Lévy processes
Online Access:https://www.mdpi.com/2227-7390/12/1/82

Internet

https://www.mdpi.com/2227-7390/12/1/82

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