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
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
Journal title :
Computational Methods for Differential Equations