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

DOI10.1016/J.AMC.2013.05.008MaRDI QIDQ482441zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(22)

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• 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 of options in the singular perturbed stochastic volatility model
• Pricing two-asset rainbow options with the fast Fourier transform
• A dimension reduction Shannon-wavelet based method for option pricing
• Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity
• 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
• scientific article; zbMATH DE number 7366185 (Why is no real title available?)
• Tensor transform-based quaternion Fourier transform algorithm
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• Option pricing under the double stochastic volatility with double jump model
• 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

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