Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity
Joint Authors
Zhu, Wenli
Huang, Jiexiang
Ruan, Xinfeng
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-11-25
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
Firstly, we present a more general and realistic double-exponential jump model with stochastic volatility, interest rate, and jump intensity.
Using Feynman-Kac formula, we obtain a partial integrodifferential equation (PIDE), with respect to the moment generating function of log underlying asset price, which exists an affine solution.
Then, we employ the fast Fourier Transform (FFT) method to obtain the approximate numerical solution of a power option which is conveniently designed with different risks or prices.
Finally, we find the FFT method to compute that our option price has better stability, higher accuracy, and faster speed, compared to Monte Carlo approach.
American Psychological Association (APA)
Huang, Jiexiang& Zhu, Wenli& Ruan, Xinfeng. 2013. Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-505397
Modern Language Association (MLA)
Huang, Jiexiang…[et al.]. Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity. Journal of Applied Mathematics No. 2013 (2013), pp.1-7.
https://search.emarefa.net/detail/BIM-505397
American Medical Association (AMA)
Huang, Jiexiang& Zhu, Wenli& Ruan, Xinfeng. Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-505397
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-505397