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2013 Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility
Xinfeng Ruan, Wenli Zhu, Shuang Li, Jiexiang Huang
Abstr. Appl. Anal. 2013(SI42): 1-13 (2013). DOI: 10.1155/2013/780542

Abstract

We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.

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Xinfeng Ruan. Wenli Zhu. Shuang Li. Jiexiang Huang. "Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility." Abstr. Appl. Anal. 2013 (SI42) 1 - 13, 2013. https://doi.org/10.1155/2013/780542

Information

Published: 2013
First available in Project Euclid: 26 February 2014

zbMATH: 07095348
MathSciNet: MR3143568
Digital Object Identifier: 10.1155/2013/780542

Rights: Copyright © 2013 Hindawi

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Vol.2013 • No. SI42 • 2013
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