Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
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Publication:2247115
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Cites work
- scientific article; zbMATH DE number 1594551 (Why is no real title available?)
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- A Fourier-based valuation method for Bermudan and barrier options under Heston's model
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
- A jump-diffusion model for option pricing
- A novel pricing method for European options based on Fourier-cosine series expansions
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions
- FFT based option pricing under a mean reverting process with stochastic volatility and jumps
- Fast Fourier transform based power option pricing with stochastic interest rate, volatility, and jump intensity
- Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps
- Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
- Option pricing with mean reversion and stochastic volatility
- Pricing and hedging power options
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- Risk-neutral valuation of power barrier options
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
Cited in
(6)- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
- The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate
- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
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