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Matlab: Implementation of an option price formula

$100-500 USD

Cancelled
Posted about 12 years ago

$100-500 USD

Paid on delivery
* * *Hi! This project refers to financial mathematics and the task is to implement an **European Call option price formula** into **Matlab**-code. More detailed information can be seen in "Detailed requirements". Best regards, Daniel ## Deliverables To be more specific, the task is to price an European Call option under a jump diffusion model with correlated jumps in price and variance. Most financial practitioners price options/derivatives using the simple Black-Scholes formula(under the Black-Scholes model), in Matlab "blsprice" but in this case I want to price the financial derivate under another model, a so called jump diffusion model with correlated price and volatility jumps, sometimes denoted the Stochastic Volatility Simultaneous Jumps (SVSJ)-model. It is not a necessicity to know how it is formulated, but if you are interested, you can see the model in the paper by Artur Sepp, please see the attachment "Fourier Transform for Option Pricing under Affine Jump-Diffusions: An Overview", section ", chapter "2.6 Jump-Diffusion with Price and Volatility Jumps", equation 2.10 and 2.11. The explicit **option price formula** (under the SVSJ-model) can be seen in the text written by the Raul Kangro, Kalev P?rna and Artur Sepp, please see attachment: "Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform", equation (6). The option price formula (6) is build upon equations (19), (18) and (25) in the same paper. Proposition 3.2 or equation 25 (the MGF corresponding to the SVSJ-process) uses variables, for example "A(\phi,\tau", "B(\phi,\tau)", etc., which are defined in equation (22). Please see attachments "OP_Parametrar" and "ArturSepp_SVSJ_TEST.m". for constant parameter values. Given the provided parameters, the Black-Scholes formula generates the Call Option price 9.1837 (please see "ArturSepp_SVSJ_TEST.m") , so the interesting question is, what will the Call Option Price be under the SVSJ be? Please read everything carefully before bidding. Feel free to ask if there are any questions! Best regards, Daniel
Project ID: 2706296

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Flag of SWEDEN
Stockholm, Sweden
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