BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20240310T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20241103T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241004T140000
DTEND;TZID=America/Chicago:20241004T150000
DTSTAMP:20260416T212103
CREATED:20240430T214605Z
LAST-MODIFIED:20240430T214605Z
UID:1391-1728050400-1728054000@www.math.ttu.edu
SUMMARY:Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates\, Stochastic Strings\, and Lévy Jumps
DESCRIPTION:Speaker: Prof. Steven P. Clark\, Dept. of Finance\, UNC Charlotte \nAbstract: We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes. Substituting the Brownian motion in the Black–Scholes model with a stochastic string leads to a class of option pricing models with expiration-dependent volatility. Further extending this Generalized Black–Scholes (GBS) model by adding Lévy jumps to the returns generating processes results in a new framework generalizing all exponential Lévy models. We derive four distinct versions of the model\, with each case featuring a different jump process: the finite activity lognormal and double–exponential jump diffusions\, as well as the infinite activity CGMY process and generalized hyperbolic Lévy motion. In each case\, we obtain closed or semi-closed form expressions for European call option prices which generalize the results obtained for the original models. Empirically\, we evaluate the performance of our model against the skews of S&P 500 call options\, considering three distinct volatility regimes. Our findings indicate that: (a) model performance is enhanced with the inclusion of jumps; (b) the GBS plus jumps model outperform the alternative models with the same jumps; (c) the GBS-CGMY jump model offers the best fit across volatility regimes.
URL:https://www.math.ttu.edu/mathematicalfinance/event/option-pricing-under-a-generalized-black-scholes-model-with-stochastic-interest-rates-stochastic-strings-and-levy-jumps/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/04/SClark.jpg
END:VEVENT
END:VCALENDAR