A Comparison between the Pricing of Capped and Power Options on the Basis of Arbitrage Prevention: Evidence from a Stochastic Market with Double Stochastic Volatility, Double Jump, and a Stochastic Intensity Measure
Objective: In this paper, three types of power options under special stochastic markets have been priced. In the considered market, a risky underlying asset follows a model with two stochastic volatilities, two jumps, and a stochastic intensity measure. Generally, a power option is supposed to gener...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2020-06-01
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| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_24587_d5da9e130f781db0c04a546942924eed.pdf |