TY - JOUR
T1 - Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
AU - Huang, Jiexiang
AU - Zhu, Wenli
AU - Ruan, Xinfeng
N1 - Funding Information:
This work is supported by the Fundamental Research Funds for the Central Universities ( JBK130401 ).
PY - 2014/6
Y1 - 2014/6
N2 - This paper is based on the FFT (Fast Fourier Transform) approach for the valuation of options when the underlying asset follows the double exponential jump process with stochastic volatility and stochastic intensity. Our model captures three terms structure of stock prices, the market implied volatility smile, and jump behavior. Via the FFT method, numerical examples using European call options show effectiveness of the proposed model. Meanwhile, numerical results prove that the FFT approach is considerably correct, fast and competent.
AB - This paper is based on the FFT (Fast Fourier Transform) approach for the valuation of options when the underlying asset follows the double exponential jump process with stochastic volatility and stochastic intensity. Our model captures three terms structure of stock prices, the market implied volatility smile, and jump behavior. Via the FFT method, numerical examples using European call options show effectiveness of the proposed model. Meanwhile, numerical results prove that the FFT approach is considerably correct, fast and competent.
KW - Double exponential jump
KW - Fast Fourier transform
KW - Option pricing
KW - Stochastic intensity
KW - Stochastic volatility
UR - http://www.scopus.com/inward/record.url?scp=84891522815&partnerID=8YFLogxK
U2 - 10.1016/j.cam.2013.12.009
DO - 10.1016/j.cam.2013.12.009
M3 - Article
AN - SCOPUS:84891522815
SN - 0377-0427
VL - 263
SP - 152
EP - 159
JO - Journal of Computational and Applied Mathematics
JF - Journal of Computational and Applied Mathematics
ER -