The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
DOI10.1007/S11147-012-9083-ZzbMATH Open1296.91262OpenAlexW3123034721MaRDI QIDQ744404FDOQ744404
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
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
- Title not available (Why is that?)
- Financial Modelling with Jump Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Mathematical methods for foreign exchange. A financial engineer's approach
- The compound option approach to American options on jump-diffusions
- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
- The Fractional Fourier Transform and Applications
- A fast Fourier transform technique for pricing American options under stochastic volatility
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
Cited In (5)
- Title not available (Why is that?)
- A comparative study on time-efficient methods to price compound options in the Heston model
- A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
- On the characteristic function for asymmetric Student \(t\) distributions
- A simple method for generalized sequential compound options pricing
This page was built for publication: The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744404)
