Modeling asset prices based on two-factor stochastic volatility

MaRDI QIDQ4612320zbMATH OpenFDO

Authors Farshid Mehrdoust, Naghmeh Saber

Publication date 31 January 2019

Full work available at URL https://camo.ici.ro/journal/vol16/v16c5.pdf

zbMATH Keywords

double Heston modelEuropean option pricingjumpsstochastic volatility model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Option pricing under two-factor stochastic volatility jump-diffusion model
• Modelling joint behaviour of asset prices using stochastic correlation
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
• On pricing contingent claims under the double Heston model
• The option pricing under double Heston model with jumps

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