Pricing foreign equity option with stochastic volatility

DOI10.1016/J.PHYSA.2015.05.059MaRDI QIDQ1618699zbMATH OpenOpenAlexFDO

Authors Qi Sun, Weidong Xu

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2015.05.059

zbMATH Keywords

exchange rateforeign equity optionFourier transformtime-changed Lévy process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 3525447 (Why is no real title available?)
• Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
• Option pricing when underlying stock returns are discontinuous
• Option Pricing With V. G. Martingale Components¹
• Post-'87 crash fears in the S\&P 500 futures option market
• Processes of normal inverse Gaussian type
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• The Variance Gamma Process and Option Pricing
• Time changes for Lévy processes
• Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Truncated Lévy process with scale-invariant behavior

Cited in

(14)

• Option pricing for stochastic volatility model with infinite activity Lévy jumps
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
• American option valuation under time changed tempered stable Lévy processes
• Pricing equity warrants in Merton jump-diffusion model with credit risk
• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
• Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
• Closed-form pricing formula for foreign equity option with credit risk
• Pricing foreign currency options with stochastic volatility
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Isogeometric analysis in option pricing
• Quanto option pricing with a jump diffusion process
• scientific article; zbMATH DE number 5260301 (Why is no real title available?)
• Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models

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