Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis

Bent Jesper Christensen; George Konaris; Elisa Nicolato; David Skovmand

Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis

Bent Jesper Christensen, George Konaris, Elisa Nicolato, David Skovmand

Finance Research Group

Research output: Contribution to conference › Paper › Research › peer-review

Abstract

We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.

Original language	English
Publication date	2009
Publication status	Published - 2009
Event	19th Annual Derivatives Securities and Risk Management Conference - Arlington, Virginia, United States Duration: 17 Apr 2009 → 18 Apr 2009

Conference

Conference	19th Annual Derivatives Securities and Risk Management Conference
Country/Territory	United States
City	Arlington, Virginia
Period	17/04/2009 → 18/04/2009

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@conference{6a835e2003e211deb88e000ea68e967b,

title = "Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis",

abstract = "We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.",

author = "Christensen, {Bent Jesper} and George Konaris and Elisa Nicolato and David Skovmand",

year = "2009",

language = "English",

note = "19th Annual Derivatives Securities and Risk Management Conference ; Conference date: 17-04-2009 Through 18-04-2009",

}

TY - CONF

T1 - Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis

AU - Christensen, Bent Jesper

AU - Konaris, George

AU - Nicolato, Elisa

AU - Skovmand, David

PY - 2009

Y1 - 2009

N2 - We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.

AB - We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.

M3 - Paper

T2 - 19th Annual Derivatives Securities and Risk Management Conference

Y2 - 17 April 2009 through 18 April 2009

ER -

Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis

Abstract

Conference

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