کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4628752 1340565 2013 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
چکیده انگلیسی

In this paper, we focus on pricing European options in a double exponential jump diffusion model with stochastic volatility and stochastic interest rate. Firstly, using fast Fourier transform (FFT) technique, we obtain numerical solutions for option prices. Then, we analyze several effects on option prices under the proposed model, including correlation between stock returns and volatility, stochastic interest rate. Simulations show that FFT is fast and efficient, stock returns are negatively correlated with volatility and the effect of stochastic interest rate over longer time horizons is significant.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 219, Issue 23, 1 August 2013, Pages 10928–10933
نویسندگان
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