Modeling asset price under two-factor Heston model with jumps

DOI10.1007/s40819-017-0328-2zbMath1397.91573OpenAlexW2592986420MaRDI QIDQ1792238

Yanyan Li

Publication date: 11 October 2018

Published in: International Journal of Applied and Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40819-017-0328-2

zbMATH Keywords

jumpsMonte Carlo simulationvariance reductionEuropean optionsstochastic volatility modeldouble Heston model

Mathematics Subject Classification ID

Cites Work

• The Pricing of Options and Corporate Liabilities
• A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps
• The Heston Model and Its Extensions in Matlab and C#
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
• Pricing of geometric Asian options under Heston's stochastic volatility model
• Pricing barrier options by a regime switching model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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