Approximate option pricing under a two-factor Heston-Kou stochastic volatility model

DOI10.1007/s10287-023-00486-8OpenAlexW4388291468MaRDI QIDQ6149566

Josep Vives, Zororo S. Makumbe, Youssef El-Khatib

Publication date: 6 February 2024

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-023-00486-8

zbMATH Keywords

stochastic volatilitymulti-factor modelsoption price decompositionHeston-Kou model

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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• DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
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• Unnamed Item

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