VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
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double exponential jumpFourier-cosine expansionGeske-Johnson schemeinverse fast Fourier transformstochastic volatilityvulnerable American options
Stopping times; optimal stopping problems; gambling theory (60G40) Jump processes on discrete state spaces (60J74) Numerical methods for discrete and fast Fourier transforms (65T50) 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 vulnerable options with Heston's stochastic volatility
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A fast numerical method to price American options under the Bates model
- A jump-diffusion model for option pricing
- A novel pricing method for European options based on Fourier-cosine series expansions
- Analytical valuation of vulnerable options in a discrete-time framework
- Chebyshev and Fourier spectral methods.
- Handbooks in operations research and management science: Financial engineering
- Option pricing when underlying stock returns are discontinuous
- Pricing vulnerable American put options under jump-diffusion processes
- Pricing vulnerable European options with stochastic correlation
- Pricing vulnerable options under a stochastic volatility model
- Pricing vulnerable options with stochastic volatility
- Pricing vulnerable path-dependent options using integral transforms
- The pricing of options and corporate liabilities
- The pricing of vulnerable options with double Mellin transforms
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- Valuation of vulnerable American options with correlated credit risk
Cited in
(11)- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- Pricing vulnerable European options under Lévy process with stochastic volatility
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- Two frameworks for pricing defaultable derivatives
- Stochastic volatility model with correlated jump sizes and independent arrivals
- Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure
- Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
- Options pricing with Markov regime switching Heston volatility Hull-White interest rates and stochastic intensity
- A study of American options under stochastic volatility and double exponential jumps
- European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate
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