✦ LIBER ✦

Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps

✍ Scribed by Zhang, Sumei; Wang, Lihe

Book ID: 122782699
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 257 KB
Volume: 219
Category: Article
ISSN: 0096-3003
DOI: 10.1016/j.amc.2013.05.008

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A fast numerical approach to option pric

A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps

✍ Zhang, Sumei; Wang, Lihe 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 423 KB

Option pricing using the fast Fourier tr

Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity

✍ Huang, Jiexiang; Zhu, Wenli; Ruan, Xinfeng 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 529 KB

Testing Option Pricing Models with Stoch

Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates

✍ George J. Jiang 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 335 KB

Pricing American options on foreign curr

Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates

✍ Jia-Hau Guo; Mao-Wei Hung 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 294 KB 👁 1 views

## Abstract By applying the Heath–Jarrow–Morton (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

Foreign equity option pricing under stoc

Foreign equity option pricing under stochastic volatility model with double jumps

✍ Weidong Xu; Chongfeng Wu; Hongyi Li 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 698 KB

Pricing American options under stochasti

Pricing American options under stochastic volatility and stochastic interest rates

✍ Alexey Medvedev; Olivier Scaillet 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 696 KB