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Option pricing under the double stochastic volatility with double jump model | ||
| Computational Methods for Differential Equations | ||
| مقاله 4، دوره 5، شماره 3، مهر 2017، صفحه 224-231 اصل مقاله (287.98 K) | ||
| نوع مقاله: Research Paper | ||
| نویسندگان | ||
| Elham Dastranj* ؛ Roghaye Latifi | ||
| Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, Shahrood, Iran | ||
| چکیده | ||
| 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. | ||
| کلیدواژهها | ||
| Power option؛ Monte Carlo؛ Fast Fourier Transform؛ Double Stochastic Volatility؛ Double Jump | ||
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آمار تعداد مشاهده مقاله: 980 تعداد دریافت فایل اصل مقاله: 987 |
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