Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity
From MaRDI portal
Publication:6534650
DOI10.1155/2020/2743676zbMATH Open1544.91315MaRDI QIDQ6534650
Publication date: 14 May 2021
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- The pricing of options and corporate liabilities
- A Jump-Diffusion Model for Option Pricing
- Interest rate models -- theory and practice. With smile, inflation and credit
- Applications of Fourier transform to smile modeling. Theory and implementation.
- Fast Fourier transform based power option pricing with stochastic interest rate, volatility, and jump intensity
- Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
- A theory of the term structure of interest rates
- Extension of stochastic volatility equity models with the Hull–White interest rate process
- On the Heston Model with Stochastic Interest Rates
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- An equilibrium characterization of the term structure
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing Interest-Rate-Derivative Securities
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Option pricing when underlying stock returns are discontinuous
Related Items (1)
Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
This page was built for publication: Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6534650)