Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps

DOI10.1016/j.amc.2013.05.008zbMath1303.91193OpenAlexW2070550919MaRDI QIDQ482441

Lihe Wang, Su-Mei Zhang

Publication date: 30 December 2014

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

Full work available at URL: https://doi.org/10.1016/j.amc.2013.05.008

zbMATH Keywords

stochastic volatilityfast Fourier transformstochastic interest ratedouble exponential jump diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (6)

A dimension reduction Shannon-wavelet based method for option pricing ⋮ Pricing foreign equity option under stochastic volatility tempered stable Lévy processes ⋮ Pricing of options in the singular perturbed stochastic volatility model ⋮ PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY ⋮ Tensor transform-based quaternion Fourier transform algorithm ⋮ Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps
• Markov-modulated jump-diffusions for currency option pricing
• A fast Fourier transform technique for pricing American options under stochastic volatility
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
• A volatility-varying and jump-diffusion Merton type model of interest rate risk
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• A Fourier Transform Method for Spread Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The Term Structure of Simple Forward Rates with Jump Risk
• Option pricing when underlying stock returns are discontinuous

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