FFT based option pricing under a mean reverting process with stochastic volatility and jumps

DOI10.1016/J.CAM.2010.10.024MaRDI QIDQ534218zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

jumpsMonte Carlo simulationstochastic volatilityfast Fourier transformmean reverting process

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• scientific article; zbMATH DE number 52877 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Mathematical methods for foreign exchange. A financial engineer's approach
• Modelling jumps in electricity prices: theory and empirical evidence
• Option pricing with mean reversion and stochastic volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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
• scientific article; zbMATH DE number 2147959 (Why is no real title available?)
• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
• Pricing extendible options using the fast Fourier transform
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
• 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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Uses Software

• FFTW

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