By Montakan thongpan, Sarun Wongwai and Nonthiya Makate
An alternative option pricing model is proposed, in which the asset prices follow the jumpdiffusion with stochastic volatility and intensity. The stochastic volatility follows the jump-diffusion. We find a formulation for the European-style option in terms of characteristic functions.
Download : Jump-diffusion with stochastic volatility and intensity