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
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
characteristic functionstochastic volatilityfast Fourier transformstochastic interest ratedouble exponential jump diffusion
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cited In (8)
- 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
This page was built for publication: A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375647)
