An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities

IF 0.8 4区管理学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Operations Research Letters Pub Date : 2025-02-05 DOI:10.1016/j.orl.2025.107253

Chunhui Qiao , Xiangwei Wan , Nian Yang

引用次数: 0

Abstract

This paper proposes a new stochastic volatility model with double-exponential jumps in returns and GARCH-type volatility diffusion for option pricing. Previously unexplored due to the lack of analytical option pricing formulas, we obtain closed-form expansions for European option prices under various volatility specifications and jump types, making model calibration feasible. Empirical studies show that this model outperforms alternatives.

查看原文本刊更多论文

求助全文

约1分钟内获得全文求助全文

来源期刊

Operations Research Letters 管理科学-运筹学与管理科学

CiteScore

2.10

自引率

9.10%

发文量

111

审稿时长

83 days

期刊介绍： Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.