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Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps
Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps
Speaker: Prof. Steven P. Clark, Dept. of Finance, UNC Charlotte Abstract: 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 […]
