Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity
المؤلفون المشاركون
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2020، العدد 2020 (31 ديسمبر/كانون الأول 2020)، ص ص. 1-13، 13ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2020-05-25
دولة النشر
مصر
عدد الصفحات
13
التخصصات الرئيسية
الملخص EN
We present option pricing under the double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity in this article.
We make two contributions based on the existing literature.
First, we add double stochastic volatility to the option pricing model combining stochastic interest rates and jumps with stochastic intensity, and we are the first to fill this gap.
Second, the stochastic interest rate process is presented in the Hull–White model.
Some authors have concentrated on hybrid models based on various asset classes in recent years.
Therefore, we build a multifactor model with the term structure of stochastic interest rates.
We also approximated the pricing formula for European call options by applying the COS method and fast Fourier transform (FFT).
Numerical results display that FFT and the COS method are much faster than the numerical integration approach used for obtaining the semi-closed form prices.
The COS method shows higher accuracy, efficiency, and stability than FFT.
Therefore, we use the COS method to investigate the impact of the parameters in the stochastic jump intensity process and the existence of the process on the call option prices.
We also use it to examine the impact of the parameters in the interest rate process on the call option prices.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Chang, Ying& Wang, Yiming. 2020. Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1194014
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Chang, Ying& Wang, Yiming. Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity. Mathematical Problems in Engineering No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1194014
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Chang, Ying& Wang, Yiming. Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1194014
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1194014
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر