Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps
DOI10.1080/03610926.2016.1228960zbMATH Open1378.35341OpenAlexW2524942030MaRDI QIDQ4598592FDOQ4598592
Authors: Junhao Geng, Sumei Zhang 
Publication date: 15 December 2017
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2016.1228960
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option pricingstochastic volatilitydouble exponential jumpsFourier-cosine methodforward starting options
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Probabilistic models, generic numerical methods in probability and statistics (65C20) Brownian motion (60J65) Asymptotic expansions of solutions to PDEs (35C20) PDEs with randomness, stochastic partial differential equations (35R60)
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- A forward started jump-diffusion model and pricing of cliquet style exotics
- A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump
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