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- Publisher
- Wiley
- Copyright
- Copyright © 2017 John Wiley & Sons, Ltd.
- ISSN
- 1524-1904
- eISSN
- 1526-4025
- DOI
- 10.1002/asmb.2248
- Publisher site
- See Article on Publisher Site
Abstract
In this paper, we introduce a unifying approach to option pricing under continuous‐time stochastic volatility models with jumps. For European style options, a new semi‐closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro‐differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way.
Journal
Applied Stochastic Models in Business and Industry – Wiley
Published: Aug 1, 2017
Keywords: ; ; ; ;