OPTION PRICING FOR A JUMP DIFFUSION MODEL WITH FRACTIONAL
An alternative stochastic volatility model with jumps is proposed, in which stock prices follow a jump diffusion model and their stochastic volatility follows a fractional stochastic volatility model. By using an approximate method, we find a formulation for the European-style option in terms of the characteristic function of tail probabilities.
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Copyright (c) 2010 Journal of Nonlinear Analysis and Optimization: Theory & Applications
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