Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps

被引：13

作者：

Zhang, Sumei ^{[1
]}

Wang, Lihe ^{[2
]}

机构：

[1] Xian Univ Posts & Telecommun, Sch Sci, Xian 710121, Peoples R China

[2] Xi An Jiao Tong Univ, Sch Sci, Xian 710049, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2013年 / 219卷 / 23期

基金：

中国国家自然科学基金;

关键词：

Fast Fourier transform; Double exponential jump diffusion; Stochastic interest rate; Stochastic volatility; DIFFUSION-MODEL; RISK;

D O I：

10.1016/j.amc.2013.05.008

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we focus on pricing European options in a double exponential jump diffusion model with stochastic volatility and stochastic interest rate. Firstly, using fast Fourier transform (FFT) technique, we obtain numerical solutions for option prices. Then, we analyze several effects on option prices under the proposed model, including correlation between stock returns and volatility, stochastic interest rate. Simulations show that FFT is fast and efficient, stock returns are negatively correlated with volatility and the effect of stochastic interest rate over longer time horizons is significant. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：10928 / 10933

页数：6

共 50 条

[1] A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps
Zhang, Sumei
Wang, Lihe
[J]. COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2013, 18 (07) : 1832 - 1839
[2] Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity
Huang, Jiexiang
Zhu, Wenli
Ruan, Xinfeng
[J]. JOURNAL OF APPLIED MATHEMATICS, 2013,
[3] EUROPEAN OPTION PRICING WITH STOCHASTIC VOLATILITY AND JUMPS: COMPARISON OF MONTE CARLO AND FAST FOURIER TRANSFORM METHODS
Lyi, Uro
Fu, Michael C.
[J]. 2018 WINTER SIMULATION CONFERENCE (WSC), 2018, : 1682 - 1693
[4] Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity
Chang, Ying
Wang, Yiming
[J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020 (2020)
[5] A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps
Lyu, Jianping
Ma, Yong
Sun, Wei
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2022, 51 (15) : 5112 - 5123
[6] Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
Huang, Jiexiang
Zhu, Wenli
Ruan, Xinfeng
[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2014, 263 : 152 - 159
[7] Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
Zhang, Sumei
Sun, Yudong
[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 325 : 34 - 41
[8] Foreign equity option pricing under stochastic volatility model with double jumps
Xu, Weidong
Wu, Chongfeng
Li, Hongyi
[J]. ECONOMIC MODELLING, 2011, 28 (04) : 1857 - 1863
[9] Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities
da Silva, Allan Jonathan
Baczynski, Jack
da Silva Braganca, Joao Felipe
[J]. COMPUTATIONAL SCIENCE - ICCS 2019, PT V, 2019, 11540 : 710 - 716
[10] Option pricing for a stochastic volatility Levy model with stochastic interest rates
Sattayatham, P.
Pinkham, S.
[J]. JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2013, 42 (01) : 25 - 36

← 1 2 3 4 5 →