Title of article
Option pricing under the double stochastic volatility with double jump model
Author/Authors
Dastranj ، Elham - Shahrood University of Technology , Latifi ، Roghaye - Shahrood University of Technology
Pages
8
From page
224
To page
231
Abstract
In this paper, we deal with the pricing of power options when the dynamics of the risky underling asset follows the double stochastic volatility with double jump model. We prove efficiency of our considered model by fast Fourier transform method, Monte Carlo simulation and numerical results using power call options i.e. Monte Carlo simulation and numerical results show that the fast Fourier transform is correct.
Keywords
Power option , Monte Carlo , Fast Fourier Transform , Double Stochastic Volatility , Double Jump
Journal title
Computational Methods for Differential Equations
Serial Year
2017
Journal title
Computational Methods for Differential Equations
Record number
2456834
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