Foreign Exchange Option Pricing Under Logarithmic Mean-reversion Jump-diffusion With Stochastic Volatility

Posted on:2014-02-07

Degree:Master

Type:Thesis

Country:China

Candidate:L P Deng

Full Text:PDF

GTID:2309330434972462

Subject:Operational Research and Cybernetics

Abstract/Summary:

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This paper is concerned with modeling the logarithmic mean-reversion jump-Diffusion stochastic volatility model and we analyse the existence and uniqueness of the model. Finally we get characteristic functions via conditional expectations and de-rive the option pricing formula.

Keywords/Search Tags:

mean reversion, jump-diffusion, stochastic volatility, characteristicfunction

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