Option pricing under the double stochastic volatility with double jump model
عنوان مقاله: Option pricing under the double stochastic volatility with double jump model
شناسه ملی مقاله: JR_CMDE-5-3_004
منتشر شده در در سال 1396
شناسه ملی مقاله: JR_CMDE-5-3_004
منتشر شده در در سال 1396
مشخصات نویسندگان مقاله:
- - - Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, Shahrood, Iran
- - - Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, Shahrood, Iran
خلاصه مقاله:
- - - Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, Shahrood, Iran
- - - Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, Shahrood, Iran
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.
کلمات کلیدی: Power option, Monte Carlo, Fast Fourier Transform, Double Stochastic Volatility, Double Jump
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1598131/