Title:	Unifikovaná oceňovací formule pro několik modelů stochastické volatility se skoky Unifying pricing formula for several stochastic volatility models with jumps
Authors:	Baustian, Falko Mrázek, Milan Pospíšil, Jan Sobotka, Tomáš
Citation:	BAUSTIAN, F., MRÁZEK, M., POSPÍŠIL, J., SOBOTKA, T. Unifying pricing formula for several stochastic volatility models with jumps. Applied Stochastic Models in Business and Industry, 2017, roč. 33, č. 4, s. 422-442. ISSN 1526-4025.
Issue Date:	2017
Publisher:	Wiley
Document type:	postprint postprint
URI:	http://hdl.handle.net/11025/29174
ISSN:	1526-4025
Keywords:	Modely stochastické volatility;oceňování opcí;fundamentální transformace;PIDR;frakcionální volatilita
Keywords in different language:	Stochastic volatility models;option pricing;fundamental transform;PIDE;fractional volatility
Abstract in different language:	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. In particular, we focus on a log-normal and a log-uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yani and Hanson respectively. The comparison of existing and newly proposed option pricing formulas with respect to time-efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out-of-the money contracts.
Rights:	Plný text není přístupný. © Wiley
Appears in Collections:	Články / Articles (KMA) Postprinty / Postprints (KMA) OBD

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