A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps

DOI10.1016/J.CNSNS.2012.11.010zbMATH Open1274.91483OpenAlexW1989207880MaRDI QIDQ375647FDOQ375647

Authors: Lihe Wang, Sumei Zhang 

Publication date: 31 October 2013

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S1007570412005114

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zbMATH Keywords

characteristic functionstochastic volatilityfast Fourier transformstochastic interest ratedouble exponential jump diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (9)

• Option pricing under two-factor stochastic volatility jump-diffusion model
• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
• Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility
• Modeling asset price under two-factor Heston model with jumps
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk

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