G. Yan and F. B. Hanson, “Option Pricing for Stochastic Volatility Jump Diffusion Model with Log Uniform Jump Amplitudes,” Proceeding American Control Conference, Minneapolis, 14-16 June 2006, pp. 2989-2994.

has been cited by the following article:

• TITLE: European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates

  AUTHORS: Sarisa Pinkham, Pairote Sattayatham

  KEYWORDS: Time-Change Lévy Process, Stochastic Interest Rate, Vasicek Process, Forward Measure, Option Pricing

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.3, November 25, 2011

  ABSTRACT: We present a European option pricing when the underlying asset price dynamics is governed by a linear combination of the time-change Lévy process and a stochastic interest rate which follows the Vasicek process. We obtain an explicit formula for the European call option in term of the characteristic function of the tail probabilities.