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On the Combination of Merton and Heston Models in the Theory of Option Pricing
-
- Fadugba Sunday Emmanuel
- Okunlola Joseph Temitayo
- 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