Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude

DOI10.1080/00207160.2016.1158814MaRDI QIDQ4976303zbMATH OpenOpenAlexFDO

Authors Youfa Sun, Caiyan Liu, Shimin Guo

Publication date 28 July 2017

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2016.1158814

zbMATH Keywords

exponential distributionFourier cosine methodHestonjump-diffusionvolatility sadnessvolatility smile/smirk

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Numerical methods for trigonometric approximation and interpolation (65T40) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Fourier-based valuation method for Bermudan and barrier options under Heston's model
• A jump-diffusion model for option pricing
• A novel pricing method for European options based on Fourier-cosine series expansions
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
• Exact pricing with stochastic volatility and jumps
• Exact sampling of jump diffusions
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Extension of stochastic volatility equity models with the Hull-White interest rate process
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• Option pricing when underlying stock returns are discontinuous
• Sequential calibration of options
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(2)

• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
• Calibration and option pricing with stochastic volatility and double exponential jumps

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