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A Closed-Form Approximation to the Stochastic-Volatility Jump-Diffusion Option Pricing Model
| Content Provider | Semantic Scholar |
|---|---|
| Author | Chen, Zhan |
| Copyright Year | 2010 |
| Abstract | The risk-neutral pricing partial differential equation from a stochastic-volatility jump-diffusion model for a European call option is solved approximately using a regular perturbation and Green's function method. The closed-form approximate solution provides the same accuracy as the Heston model in in-sample and out-of-sample tests of S&P500 option pricing, with one to two orders of magnitude less computation time and much ease of numerical convergence. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.1614796 |
| Alternate Webpage(s) | http://www.eolainvestments.com/Documents/3%20ei%20A%20Closed-Form%20Approximation%20to%20SVJ%20Option%20Pricing%20Model%20rev1.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.1614796 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
