Pricing foreign equity option with stochastic volatility

DOI10.1016/j.physa.2015.05.059zbMath1400.91612OpenAlexW2204177094MaRDI QIDQ1618699

Qi Sun, Weidong Xu

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.05.059

zbMATH Keywords

Fourier transformexchange ratetime-changed Lévy processforeign equity option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

Isogeometric analysis in option pricing ⋮ Option pricing for stochastic volatility model with infinite activity Lévy jumps ⋮ Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model ⋮ On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis ⋮ American option valuation under time changed tempered stable Lévy processes ⋮ Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ Pricing foreign equity option under stochastic volatility tempered stable Lévy processes ⋮ Pricing and hedging foreign equity options under Hawkes jump-diffusion processes ⋮ Closed-form pricing formula for foreign equity option with credit risk ⋮ Quanto option pricing with a jump diffusion process

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