OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION

DOI10.1142/S0218348X22400655zbMath1486.91083OpenAlexW3202149567WikidataQ114072770 ScholiaQ114072770MaRDI QIDQ5070767

Zhi-Chao Liu, Yun-Chen Wang, Yong Ye, Tareq Saeed, Ya Cheng

Publication date: 14 April 2022

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x22400655

zbMATH Keywords

Fourier transformoption pricingnonlinear differential equationstochastic volatility model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Uses Software

• Origin

Cites Work

• Estimating the concordance probability in a survival analysis with a discrete number of risk groups
• The Gromov-Hausdorff metric on the space of compact metric spaces is strictly intrinsic
• Transportation inequalities for stochastic delay evolution equations driven by fractional Brownian motion
• An empirical investigation of large trader market manipulation in derivatives markets
• Pricing volatility derivatives under the modified constant elasticity of variance model
• Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
• An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.
• Representation of singular integrals by dyadic operators, and the \(A_2\) theorem
• Deterministic chaos in pendulum systems with delay
• Inertial and dimensional effects on the instability of a thin film
• Pricing European options with stochastic volatility under the minimal entropy martingale measure
• A forward equation for barrier options under the Brunick & Shreve Markovian projection
• Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates
• Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts

This page was built for publication: OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION