Volume 7, Issue 2, 2014
We consider option pricing problems in the stochastic volatility jump diffusion model with correlated and contemporaneous jumps (SVCJ) in both the return and variance processes. The option value function...
More Option pricing articles
Volume 17, Issue 3, 2014
Volume 17, Issue 2, 2013
The derivatives of option prices with respect to underlying parameters are commonly referred to as Greeks, and they measure the sensitivities of option prices to these parameters. When the closed-form...
Quanto adjustments in the presence of stochastic volatility
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.