Pricing Fade-in Options Under GARCH-Jump Processes.

In this paper, we investigate fade-in options under GARCH-jump processes. Specifically, we adopt NIG distributions to capture jump risk, and both market and individual jumps are considered. In the pricing model driven by GARCH-jump processes, we obtain the prices of fade-in options using the Fourier transform methods. Finally, we use the derived pricing formulae to illustrate the effects of fade-in sets and the parameters in the jump processes. [ABSTRACT FROM AUTHOR]