Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps

DOI10.1080/03610926.2016.1228960zbMath1378.35341OpenAlexW2524942030MaRDI QIDQ4598592

Junhao Geng, Su-Mei Zhang

Publication date: 15 December 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1228960

zbMATH Keywords

stochastic volatilityoption pricingdouble exponential jumpsFourier-cosine methodforward starting options

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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