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Volume 6,Issue 4,July - Aug.,2019


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Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Volume 6,Issue 4,July - Aug.,2019


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"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Successfully Published

Volume 6,Issue 4,July - Aug.,2019


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"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Successfully Published

Volume 6,Issue 4,July - Aug.,2019


Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Mail your paper at E-mail: submit2ijasm@yahoo.in , submit@ijasm.org


Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Successfully Published

Volume 6,Issue 4,July - Aug.,2019


Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


Mail your paper at E-mail:

Mail your paper at E-mail: submit2ijasm@yahoo.in , submit@ijasm.org


Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


Mail your paper at E-mail:

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Successfully Published

Volume 6,Issue 4,July - Aug.,2019


Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


Mail your paper at E-mail:

Mail your paper at E-mail: submit2ijasm@yahoo.in , submit@ijasm.org



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On the Combination of Merton and Heston Models in the Theory of Option Pricing

  • Emmanuel, Fadugba Sunday
  • Temitayo, Okunlola Joseph
This paper presents the combination of Heston and Merton model in the theory of option pricing. Merton model is one of the modern pricing models that allow discontinuous trajectories of the underlying prices of the asset. Heston model is one of the most widely used stochastic volatility models. Its attractiveness lies in the powerful duality of its tractability and robustness relative to other stochastic volatility models. We consider Bates model as the combination of the Merton and Heston models.
Select Volume / Issue:
Year:
2014
Type of Publication:
Article
Keywords:
Bates Model; Black-Scholes Model; European Option; Heston Model; Merton Model; Option
Journal:
IJASM
Volume:
1
Number:
1
Pages:
22-27
Month:
Sept.- Oct.
ISSN:
2394-2894
Hits: 1191

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