Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity (Q6564802)
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scientific article; zbMATH DE number 7873901
| Language | Label | Description | Also known as |
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| English | Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity |
scientific article; zbMATH DE number 7873901 |
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Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity (English)
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1 July 2024
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In this article, the authors derive the three-dimensional characteristic function of the log-asset price, the volatility and the jump intensity and extend the Fourier cosine series expansion (COS method) to the discrete barrier options pricing under the stochastic volatility and stochastic intensity (SV + J + SI model) model. Numerical formula for the discrete barrier option prices based above 3D-COS method is given. It is shown that the 3D-COS method is rather correct, fast and competent for pricing the discrete barrier options.
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option pricing
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discrete barrier options
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jump-diffusion model
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stochastic volatility
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stochastic intensity
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