Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
Rehez Ahlip, Laurence A. F. Park, Ante Prodan • Journal of Mathematical Sciences and Modelling
(2018)
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, ...
DOAJ
Open Access (DOAJ)
DOI:
10.33187/jmsm.432019