Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility

<div>The effect of <svg height="11.8174pt" id="M237" style="vertical-align:-3.1815pt" version="1.1" viewbox="-0.0498162 -8.6359 12.1837 11.8174" width="12.1837pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M640 650H413L406 622L438 617C475 611 483 605 463 571C422 503 346 400 296 333C264 403 215 529 199 575C189 604 191 614 228 618L262 622L271 650H30L23 622C90 615 97 609 119 553L212 321C222 295 223 285 218 259L193 127C176 39 167 33 82 28L76 0H350L356 28C266 36 257 40 275 127L303 266C308 290 314 302 328 322C396 418 454 493 498 546C551 610 565 616 631 622L640 650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.111,3.132)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g></svg> on the option prices.</div>

Discrete Dynamics in Nature and Society

fig9

Figure 9

Figure 9: Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility 