We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility. We assume. in addition. that the stochastic interest rate is governed by the Cox-- Ross -- Ingersoll (CIR) dynamics. https://thehookahlabes.shop/product-category/diffuser/
Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
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