search query: @author Kuznetsov, A. / total: 11
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| Author: | Albanese, C. Kuznetsov, A. |
| Title: | Unifying volatility models |
| Journal: | Risk
2004 : MAR, VOL. 17:3, p. 94-98 |
| Index terms: | Stock markets Volatility Options Pricing Models |
| Language: | eng |
| Abstract: | This article introduces a method of building analytically tractable option pricing models that combine state-dependent volatility, stochastic volatility and jumps. The eigenfunction expansion method is used to add jumps and stochastic volatility to hypergeometric Brownian motions. |
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