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

DOI10.1016/j.cam.2013.12.009zbMath1291.91232OpenAlexW2019424968MaRDI QIDQ2252400

Jiexiang Huang, Wenli Zhu, Xinfeng Ruan

Publication date: 17 July 2014

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

Full work available at URL: https://doi.org/10.1016/j.cam.2013.12.009

zbMATH Keywords

stochastic volatilityoption pricingfast Fourier transformstochastic intensitydouble exponential jump

Mathematics Subject Classification ID

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Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Fast Fourier transform 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
• Option pricing with mean reversion and stochastic volatility
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• 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
• Option pricing when underlying stock returns are discontinuous

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