𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Foreign equity option pricing under stochastic volatility model with double jumps

✍ Scribed by Weidong Xu; Chongfeng Wu; Hongyi Li

Book ID
116424272
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
698 KB
Volume
28
Category
Article
ISSN
0264-9993

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Capped equity swaps under the double-jum
Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates
✍ Jia-Hau Guo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 257 KB

This study proposes a double-jump stochastic volatility model with stochastic interest rates to price capped equity swaps and other multi-period derivative securities. Closed-form solutions for capped equity swaps with a fixed or variable notional principle are derived. In addition, numerical exampl

FFT based option pricing under a mean re
FFT based option pricing under a mean reverting process with stochastic volatility and jumps
✍ E. Pillay; J.G. O’Hara πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 228 KB

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

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 πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 294 KB πŸ‘ 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