JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2026, Vol. 61 ›› Issue (9): 74-83.doi: 10.6040/j.issn.1671-9352.0.2024.338

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European option pricing with double jump driven by sentiment

DUAN Lina, FAN Xiaoming*   

  1. School of Mathematics, Southwest Jiaotong University, Chengdu 611756, Sichuan, China
  • Published:2026-09-30

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Abstract: On the basis of log mean-reverting(LMR)model, double exponential jump(DEJ)and investor sentiment are taken as influencing factors to study their impact on European option pricing, and the log mean-reverting double exponential jump diffusion model with investor sentiment(LMR-DEJ-S)is constructed. The Shanghai Stock Exchange 50 ETF option price is predicted using the LMR-DEJ-S model, BS model, Merton model, Heston model and log mean-reverting double exponential jump diffusion model(LMR-DEJ)without investor sentiment. The mean square error, mean absolute error and mean absolute percentage error are selected as evaluation indicators. The results show that the LMR-DEJ-S model has a smaller prediction error and better fitting accuracy.

Key words: logarithmic mean reply, double exponential jump diffusion, investor sentiment, option pricing

CLC Number: 

  • O211
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