Blessing Taruvinga

University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group

15 Broadway, Ultimo

PO Box 123

Sydney, NSW 2007

Australia

SCHOLARLY PAPERS

2

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129

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Pricing American Options With Jumps in Asset and Volatility

Number of pages: 41 Posted: 17 Nov 2018
University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group, AMP and University of Technology Sydney - Business School
Downloads 79 (456,199)
Citation 1

Abstract:

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American Options, Method of Lines, Stochastic Interest Rate, Jumps, Greeks

2.

The Impact of Jumps on American Option Pricing: The S&P 100 Options Case.

Number of pages: 49 Posted: 25 Jan 2019
AMP, University of Technology Sydney - Business School, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 50 (573,473)

Abstract:

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American options; S&P 100 options; Method of Lines; asset jumps; volatility jumps; stochastic interest rate