A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump

DOI10.1155/2020/4613536zbMath1459.91219OpenAlexW3093240871WikidataQ115521679 ScholiaQ115521679MaRDI QIDQ2209214

Shoude Huang, Xun Xiang Guo

Publication date: 28 October 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/4613536

Mathematics Subject Classification ID

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

Related Items (1)

Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility

Cites Work

• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The Pricing of Options and Corporate Liabilities
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• A numerical method for pricing discrete double barrier option by Legendre multiwavelet
• ARCH models as diffusion approximations
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps
• 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
• A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

This page was built for publication: A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump