Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps

DOI10.1016/J.AMC.2013.05.008zbMATH Open1303.91193OpenAlexW2070550919MaRDI QIDQ482441FDOQ482441

Authors: Lihe Wang, Sumei Zhang 

Publication date: 30 December 2014

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.05.008

Recommendations

• A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
• Fast Fourier transform based power option pricing with stochastic interest rate, volatility, and jump intensity
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods

zbMATH Keywords

stochastic 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) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• The pricing of options and corporate liabilities
• A jump-diffusion model for option pricing
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps
• Option pricing when underlying stock returns are discontinuous
• The Term Structure of Simple Forward Rates with Jump Risk
• A Fourier transform method for spread option pricing
• Markov-modulated jump-diffusions for currency option pricing
• A volatility-varying and jump-diffusion Merton type model of interest rate risk
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
• A fast Fourier transform technique for pricing American options under stochastic volatility

Cited In (21)

• Fast Fourier transform based power option pricing with stochastic interest rate, volatility, and jump intensity
• Option pricing under mixed exponential jump diffusion model based on the FST method
• Title not available (Why is that?)
• Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity
• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
• Option valuation, time-changed processes and the fast Fourier transform
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
• Pricing two-asset rainbow options with the fast Fourier transform
• Pricing of options in the singular perturbed stochastic volatility model
• A dimension reduction Shannon-wavelet based method for option pricing
• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• Title not available (Why is that?)
• Tensor transform-based quaternion Fourier transform algorithm
• Option pricing under the double stochastic volatility with double jump model
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps
• Fast Fourier transform option pricing: efficient approximation methods under multi-factor stochastic volatility and jumps
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk

This page was built for publication: Fast Fourier transform 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 Q482441)