Pricing quanto reset options in a stochastic volatility model with jump risks

MaRDI QIDQ5128300zbMATH OpenFDO

Authors Zhu'e Wei, Jiawen He

Publication date 27 October 2020

zbMATH Keywords

Fourier inversion transformjump-diffusion modelquanto reset optionsstochastic volatility

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Valuation on quanto chooser option in a stochastic volatility model with jump risks
• Valuation on Quanto options in jump-diffusion model with stochastic volatility
• scientific article; zbMATH DE number 5284489
• The reset option pricing in jump-diffusion models
• Quanto pricing in stochastic correlation models

Cited in

(6)

• Pricing options under stochastic volatility jump model: a stable adaptive scheme
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• Pricing geometric average trigger reset option with predetermined levels in an affine diffusion model with double jumps
• Pricing geometric average trigger reset option with predetermined levels based on double exponential jump-diffusion model with stochastic interest rate
• Valuation on quanto chooser option in a stochastic volatility model with jump risks
• Valuation on Quanto options in jump-diffusion model with stochastic volatility

This page was built for publication: Pricing quanto reset options in a stochastic volatility model with jump risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5128300)