Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model

DOI10.1080/00207160.2015.1079311zbMath1335.91109OpenAlexW2201262395MaRDI QIDQ2804505

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

zbMATH Keywords

option pricingHeston modelCOS methoddynamic hedgingjump risks

Mathematics Subject Classification ID

Related Items (7)

Isogeometric analysis in option pricing ⋮ Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps ⋮ PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE ⋮ Pricing vulnerable European options under Lévy process with stochastic volatility ⋮ Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude ⋮ Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Calibration and hedging under jump diffusion
• Sequential calibration of options
• Dynamic Hedging Under Jump Diffusion with Transaction Costs
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Time Dependent Heston Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An Introduction to Financial Option Valuation
• Continuous Time Wishart Process for Stochastic Risk

This page was built for publication: Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model