FFT based option pricing under a mean reverting process with stochastic volatility and jumps
DOI10.1016/J.CAM.2010.10.024zbMATH Open1213.91162OpenAlexW2023808394MaRDI QIDQ534218FDOQ534218
Authors: Yong-Cai Geng, Sumit K. Garg 
Publication date: 17 May 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.10.024
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)
Cites Work
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- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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- Modelling jumps in electricity prices: theory and empirical evidence
Cited In (19)
- Option pricing under two-factor stochastic volatility jump-diffusion model
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- The duality property of the discrete Fourier transform based on Simpson's rule
- Title not available (Why is that?)
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
- PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
- Pricing extendible options using the fast Fourier transform
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- A dimension reduction Shannon-wavelet based method for option pricing
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
- Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
- Modeling asset price under two-factor Heston model with jumps
- Option pricing with mean reversion and stochastic volatility
- Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
- Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
- Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods
- Tracking control of nonaffine systems using bio-inspired networks with auto-tuning activation functions and self-growing neurons
- Option pricing under the jump diffusion and multifactor stochastic processes
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
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