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

DOI10.1155/2020/2743676zbMATH Open1544.91315MaRDI QIDQ6534650FDOQ6534650

Authors: Ying Chang, Yiming Wang 

Publication date: 14 May 2021

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

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Mathematics Subject Classification ID

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

Cites Work

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• Transform Analysis and Asset Pricing for Affine Jump-diffusions
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• Stock price distributions with stochastic volatility: an analytic approach
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• Extension of stochastic volatility equity models with the Hull-White interest rate process
• On the Heston model with stochastic interest rates
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Interest rate models -- theory and practice. With smile, inflation and credit
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Applications of Fourier transform to smile modeling. Theory and implementation.
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• Fast Fourier transform based power option pricing with stochastic interest rate, volatility, and jump intensity

Cited In (2)

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

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