A comparison of option pricing models
2017 ◽
Vol 04
(02n03)
◽
pp. 1750024
Keyword(s):
Option pricing under two stochastic volatility models, double Heston model and double Heston with three jumps, is done. Firstly, the efficiency of the second model is shown via FFT method, and numerical examples using power call options. Then it is shown that power option yields more premium income under the second model, double Heston with three jumps, than another one.
2014 ◽
Vol 5
(1)
◽
pp. 729-752
◽
Keyword(s):
2017 ◽
Vol 316
◽
pp. 109-121
◽
Keyword(s):
2013 ◽
Vol 94
◽
pp. 55-75
◽
Keyword(s):
2017 ◽
Vol 20
(08)
◽
pp. 1750055
◽
2012 ◽
Vol 3
(1)
◽
pp. 66-94
◽
2010 ◽
Vol 13
(05)
◽
pp. 767-787
◽