Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps

DOI10.1016/j.cam.2017.04.013zbMath1366.91157OpenAlexW2610352289MaRDI QIDQ2359987

Su-Mei Zhang, Yudong Sun

Publication date: 23 June 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.04.013

zbMATH Keywords

COS methodstochastic interest ratesdouble exponential jumpsdouble Heston modelforward starting options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Event-triggered sampling control for exponential synchronization of chaotic Lur'e systems with time-varying communication delays ⋮ Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility ⋮ State bounding estimation for a linear continuous-time singular system with time-varying delay ⋮ Improved synchronization criteria of Lur'e systems under sampled-data control ⋮ A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds ⋮ Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• A Jump-Diffusion Model for Option Pricing
• On the pricing of forward starting options in Heston's model on stochastic volatility
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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