Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
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Publication:2359987
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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
- A novel pricing method for European options based on Fourier-cosine series expansions
- Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Financial Modelling with Jump Processes
- On the pricing of forward starting options in Heston's model on stochastic volatility
- Option pricing when underlying stock returns are discontinuous
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(18)- Event-triggered sampling control for exponential synchronization of chaotic Lur'e systems with time-varying communication delays
- State bounding estimation for a linear continuous-time singular system with time-varying delay
- Expressions of forward starting option price in Hull-White stochastic volatility model
- 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
- On the pricing of forward starting options in Heston's model on stochastic volatility
- Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps
- Valuation of forward start options under affine jump-diffusion models
- Pricing forward-start options in a stochastic interest rate and volatility model with jump risks
- FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- Pricing forward-starting options in double exponential jump-diffusion models
- A forward started jump-diffusion model and pricing of cliquet style exotics
- Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
- Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
- Pricing vulnerable extremum options in a Markov regime-switching Heston's model and stochastic interest rate
- The pricing of forward start options under jump diffusion model with stochastic interest rate and stochastic volatility
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