✦ LIBER ✦

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

✍ Scribed by Huang, Jiexiang; Zhu, Wenli; Ruan, Xinfeng

Book ID: 122198320
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 529 KB
Volume: 263
Category: Article
ISSN: 0377-0427
DOI: 10.1016/j.cam.2013.12.009

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Fast Fourier transform option pricing wi

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

✍ Zhang, Sumei; Wang, Lihe 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 257 KB

The evaluation of European compound opti

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

✍ Griebsch, Susanne A. 📂 Article 📅 2012 🏛 Springer US 🌐 English ⚖ 605 KB

Capped equity swaps under the double-jum

Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates

✍ Jia-Hau Guo 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 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

Small-time expansions of the distributio

Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

✍ José E. Figueroa-López; Ruoting Gong; Christian Houdré 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 340 KB