Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps

DOI10.1080/03610926.2016.1228960MaRDI QIDQ4598592zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingstochastic volatilitydouble exponential jumpsFourier-cosine methodforward starting options

Mathematics Subject Classification ID

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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(10)

• On the pricing of forward starting options in Heston's model on stochastic volatility
• Pricing forward-start options in a stochastic interest rate and volatility model with jump risks
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
• Pricing forward-starting options in double exponential jump-diffusion models
• A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump
• A forward started jump-diffusion model and pricing of cliquet style exotics
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• Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
• Model risk in the over-the-counter market
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate

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