Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity

DOI10.1155/2020/2743676MaRDI QIDQ6534650zbMATH OpenFDO

Authors Ying Chang, Yiming Wang

Publication date 14 May 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
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• 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
• Pricing interest-rate-derivative securities
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
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• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(2)

• Valuing Option Under Double Heston Jump-Diffusion Model with Stochastic Interest Rate and Approximative Fractional Brownian Motion
• Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate

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