Option pricing under mixed exponential jump diffusion model based on the FST method

DOI10.3969/J.ISSN.1005-3085.2020.02.004MaRDI QIDQ3307531zbMATH OpenOpenAlexFDO

Authors Jieqiong Zhao, Sumei Zhang

Publication date 12 August 2020

Full work available at URL http://jgsx-csiam.org.cn/CN/10.3969/j.issn.1005-3085.2020.02.004

zbMATH Keywords

European option pricingFST methodmixed-exponential jump diffusion modelmodel calibrationpartial integro-differential equation

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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(1)

• Option pricing in an exponential mixedts Lévy process

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