دانشگاه تهران بین المللی علوم (منتشر نمی شود) 6 0 2005 09 23 - - 30833 FA M. H. Nojumi Journal Article 1970 01 01 An extended model of asset price dynamics for modeling stochastic upward and downward jumps in asset prices is developed, and the modified Black-Scholes solution for value of vanilla options is derived. The change in volatility is identified in detail using the Itô integrals and Itô formulas https://iijs.ut.ac.ir/article_30833_24ea66f7cc3acd592e0f5263e9d4df02.pdf