A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps
β Scribed by Zhang, Sumei; Wang, Lihe
- Book ID
- 118059305
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 423 KB
- Volume
- 18
- Category
- Article
- ISSN
- 1007-5704
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## Abstract By applying the HeathβJarrowβMorton (HJM) framework, an analytical approximation for pricing American options on foreign currency under stochastic volatility and double jump is derived. This approximation is also applied to other existing models for the purpose of comparison. There is e
Numerous studies present strong empirical evidence that certain financial assets may exhibit mean reversion, stochastic volatility or jumps. This paper explores the valuation of European options when the underlying asset follows a mean reverting log-normal process with stochastic volatility and jump