Pricing vulnerable reset options under stochastic volatility jump diffusion model using 3-D FFT

DOI10.1080/03610926.2024.2427233MaRDI QIDQ6959994zbMATH OpenFDO

Authors Li-bin Wang, Lixia Liu

Publication date 14 July 2025

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2024.2427233

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A closed form solution for vulnerable options with Heston's stochastic volatility
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Exact solutions for a strike reset put option and a shout call option
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
• On pricing model of the reset option with N predetermined levels
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• Option pricing when underlying stock returns are discontinuous
• Pricing geometric average trigger reset option with predetermined levels in an affine diffusion model with double jumps
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
• Pricing vulnerable lookback options using Laplace transforms
• Pricing vulnerable options under jump diffusion processes using double Mellin transform
• Stock price distributions with stochastic volatility: an analytic approach
• The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
• The pricing of options and corporate liabilities
• The pricing of vulnerable options with double Mellin transforms
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(1)

• Reset option pricing with predetermined levels for uncertain currency models

This page was built for publication: Pricing vulnerable reset options under stochastic volatility jump diffusion model using 3-D FFT

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6959994)