Matlab: Implementation of an option price formula under the SVSJ-model

Cancelado Postado Mar 18, 2012 Pago na entrega
Cancelado Pago na entrega

* * *Hi!

The task is to implement an **European Call option price formula** into **Matlab** (the subject refers to Financial Mathematics but does not require any specific knowledge about this). More detailed information can be seen in "Detailed requirements".

Best regards,

Daniel

## Deliverables

The task is to implement an **European Option Price formula** under a **SVSJ-model**, also denoted as **the SVSJ-formula.** Attached for your convenience are attachments: "*Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform*", equation **(6),** i.e the **European Option Price Formula,** and "*Fourier Transform for Option Pricing under Affine Jump-Diffusions: An Overview*" ,equations **(2.10,2.11),** i.e the **SVSJ-model**. Please note that the last attachment "*Fourier Transform*..." is for the interested reader, the equations you will use are all in "*Pricing European-Style*..." so below equations are all from this paper.

More in detail, we will use equation (6), together with equations (18), (19) and Proposition 3.2 or equation (25), *the MGF corresponding to the SVSJ-mode*l. The variables, for example, "A(\phi,\tau", "B(\phi,\tau)", etc., which are all defined in equation (22).

So in total there are 5 different equations, in whole or partially, you need to implement: Equations **(6),** **(18),** **(19),(22)** and **(25)**.

Given the provided parameter values (please see attachments "OP_Parametrar" and "ArturSepp_SVSJ_TEST.m" .), the Black-Scholes formula ( an **European Option Price Formula** under the **Black-Scholes mode**l, already defined in Matlab, please see "blsprice") generate the European call option price *9.1837*, so the interesting question is:

What will the European Option Price, be under the SVSJ-model**?**

Please read everything carefully before bidding. Feel free to ask if there are any questions!

Best regards,

Daniel

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ID do Projeto: #2722899

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