FFT based option pricing under a mean reverting process with stochastic volatility and jumps

DOI10.1016/j.cam.2010.10.024zbMath1213.91162OpenAlexW2023808394MaRDI QIDQ534218

Yong-Cai Geng, Sumit K. Garg

Publication date: 17 May 2011

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.2010.10.024

zbMATH Keywords

jumpsstochastic volatilityfast Fourier transformMonte Carlo simulationmean reverting process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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Uses Software

• FFTW

Cites Work

• Modelling jumps in electricity prices: theory and empirical evidence
• Option pricing with mean reversion and stochastic volatility
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• 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
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