The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques

DOI10.1007/S11147-012-9083-ZzbMath1296.91262OpenAlexW3123034721MaRDI QIDQ744404

Susanne A. Griebsch

Publication date: 25 September 2014

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-012-9083-z

zbMATH Keywords

characteristic functionsHeston modelFourier transform techniquescompound options

Mathematics Subject Classification ID

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

Related Items (4)

A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework ⋮ A comparative study on time-efficient methods to price compound options in the Heston model ⋮ A simple method for generalized sequential compound options pricing ⋮ On the characteristic function for asymmetric Student \(t\) distributions

Cites Work

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• The compound option approach to American options on jump-diffusions
• A fast Fourier transform technique for pricing American options under stochastic volatility
• Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
• The Fractional Fourier Transform and Applications
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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