Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
DOI10.1080/00207160.2015.1079311zbMATH Open1335.91109OpenAlexW2201262395MaRDI QIDQ2804505FDOQ2804505
Authors: Youfa Sun 
Publication date: 29 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2015.1079311
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for trigonometric approximation and interpolation (65T40) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic models in economics (91B70)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A novel pricing method for European options based on Fourier-cosine series expansions
- Continuous Time Wishart Process for Stochastic Risk
- Time dependent Heston model
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- An Introduction to Financial Option Valuation
- Calibration and hedging under jump diffusion
- Dynamic hedging under jump diffusion with transaction costs
- Sequential calibration of options
Cited In (13)
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Efficient implementation of the Heston model using GPGPU
- Modeling asset prices based on two-factor stochastic volatility
- Title not available (Why is that?)
- Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
- Pricing vulnerable European options under Lévy process with stochastic volatility
- 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
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
- Modeling asset price under two-factor Heston model with jumps
- Isogeometric analysis in option pricing
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
- Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
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