A. Ng and H. Yang, “Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and after Ruin under a Markov-modulated Risk Model,” Astin Bulletin, Vol. 35, 2005, pp. 351-361. doi:10.2143/AST.35.2.2003457

has been cited by the following article:

• TITLE: Stochastic Volatility Jump-Diffusion Model for Option Pricing

  AUTHORS: Nonthiya Makate, Pairote Sattayatham

  KEYWORDS: Jump-Diffusion Model, Stochastic Volatility, Characteristic Function, Option Pricing

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.3, November 8, 2011

  ABSTRACT: An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with square root stochastic volatility. The stochastic volatility follows the jump-diffusion with square root and mean reverting. We find a formulation for the European-style option in terms of characteristic functions of tail probabilities.