A Fourier-Cosine Method for Pricing Discretely Monitored Barrier Options under Stochastic Volatility and Double Exponential Jump
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-10-13
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
In this paper, the valuation of the discrete barrier options on the condition that the underlying asset price process follows the GARCH volatility and double exponential jump is studied.
We derived an analytical approximation of the characteristic function for the underlying log-asset price.
Then, a quasianalytical approximate formula of the price of the discrete barrier option is obtained based the on Fourier-cosine method.
Numerical examples show that the Fourier-cosine method is fast and efficient for pricing discrete barrier options compared with the Monte Carlo simulation method.
Finally, the influences of some important parameters on the prices of discrete barrier options are studied to further illustrate the rationality of the model.
American Psychological Association (APA)
Huang, Shoude& Guo, Xunxiang. 2020. A Fourier-Cosine Method for Pricing Discretely Monitored Barrier Options under Stochastic Volatility and Double Exponential Jump. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-9.
https://search.emarefa.net/detail/BIM-1195285
Modern Language Association (MLA)
Huang, Shoude& Guo, Xunxiang. A Fourier-Cosine Method for Pricing Discretely Monitored Barrier Options under Stochastic Volatility and Double Exponential Jump. Mathematical Problems in Engineering No. 2020 (2020), pp.1-9.
https://search.emarefa.net/detail/BIM-1195285
American Medical Association (AMA)
Huang, Shoude& Guo, Xunxiang. A Fourier-Cosine Method for Pricing Discretely Monitored Barrier Options under Stochastic Volatility and Double Exponential Jump. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-9.
https://search.emarefa.net/detail/BIM-1195285
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195285