The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques

DOI10.1007/S11147-012-9083-ZMaRDI QIDQ744404zbMATH OpenOpenAlexFDO

Authors Susanne Griebsch

Publication date 25 September 2014

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-012-9083-z

zbMATH Keywords

characteristic functionsHeston modelFourier transform techniquescompound options

Mathematics Subject Classification ID

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?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A fast Fourier transform technique for pricing American options under stochastic volatility
• Financial Modelling with Jump Processes
• Mathematical methods for foreign exchange. A financial engineer's approach
• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
• Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
• The Fractional Fourier Transform and Applications
• The compound option approach to American options on jump-diffusions

Cited in

(5)

• scientific article; zbMATH DE number 2147959 (Why is no real title available?)
• A comparative study on time-efficient methods to price compound options in the Heston model
• On the characteristic function for asymmetric Student \(t\) distributions
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• A simple method for generalized sequential compound options pricing

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