شماره ركورد كنفرانس :
4079
عنوان مقاله :
Valuation of power option under the double Heston’s stochastic volatility model
پديدآورندگان :
Latifi R roghayelatifi95@yahoo.com Shahrood University , Dastranj E dastranj.e@gmail.com Shahrood University
كليدواژه :
Double Heston , Stochastic Volatility , Characteristic Function , Power Option
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده فارسي :
The Heston model is one of the most important concepts in financial economics. But the double Heston model provides a more flexible approach to model the stochastic variance. In this paper, we deal with power option pricing when the dynamics of the risky underling asset follows the double Heston model. In fact we use the fast Fourier transform for such option pricing