Christensen, Bent Jesper3; Konaris, George4; Nicolato, Elisa6; Skovmand, David6
1 Department of Business Studies, Aarhus School of Business, Aarhus BSS, Aarhus University2 Finance Research Group, Aarhus School of Business, Aarhus BSS, Aarhus University3 unknown4 Morgan Stanley5 Department of Economics and Business Economics, Aarhus BSS, Aarhus University6 Department of Economics and Business Economics, Aarhus BSS, Aarhus University
We consider a generalized Heath-Jarrow-Morton bond market model which allows both for jumps and stochastic volatility. Specifications with affine and quadratic volatility are studied and explicit option pricing formulas (in the Heston (1993) sense) are derived and implemented.
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19th Annual Derivatives Securities and Risk Management Conference, 2009