A numerical resolution of a European option value with a mixed modified fractional stochastic volatility

2021 ◽  
Vol 15 (8) ◽  
pp. 369-376
Author(s):  
Eric Djeutcha ◽  
Louis Aime Fono
Keyword(s):  
Stochastic Volatility ◽  
Option Value ◽  
European Option ◽  
Numerical Resolution

scholarly journals European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

2014 ◽  
Vol 80 (4) ◽  
pp. 981-1008 ◽  
Author(s):  
R. E. Caflisch ◽  
G. Gambino ◽  
M. Sammartino ◽  
C. Sgarra
Keyword(s):  
Asymptotic Analysis ◽  
Option Pricing ◽  
Transaction Costs ◽  
Stochastic Volatility ◽  
European Option ◽  
European Option Pricing

European Option Pricing under the Double Exponential Jump Model with Stochastic Interest Rate, Stochastic Volatility and Stochastic Intensity

2014 ◽  
Vol 631-632 ◽  
pp. 1325-1328 ◽  
Author(s):  
Jin Yan Sang ◽  
Na Zhang ◽  
Ming Jian
Keyword(s):  
Stochastic Volatility ◽  
Jump Process ◽  
European Options ◽  
European Option ◽  
European Option Pricing ◽  
Stochastic Intensity ◽  
Jump Model ◽  
Double Exponential ◽  
Stochastic Interest ◽  
Form Representation

This paper explores the valuation of European options when the underlying asset follows the double exponential jump process with stochastic rate, stochastic volatility and stochastic intensity. This model better describes market characteristics, such as the volatility smile, and jump behavior. By using FFT (Fast Fourier Transform) approach, a closed form representation of the characteristic function of the process is derived for the valuation of European options. Numerical results show that the FFT method is effective and competent.

Numerical methods on European option second order asymptotic expansions for multiscale stochastic volatility

2017 ◽  
Author(s):  
Betuel Canhanga ◽  
Ying Ni ◽  
Milica Rančić ◽  
Anatoliy Malyarenko ◽  
Sergei Silvestrov
Keyword(s):  
Numerical Methods ◽  
Stochastic Volatility ◽  
Asymptotic Expansions ◽  
Second Order ◽  
European Option

A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

2018 ◽  
Vol 19 (1) ◽  
pp. 155-175
Author(s):  
Jeonggyu Huh ◽  
Jaegi Jeon ◽  
Jeong-Hoon Kim ◽  
Hyejin Park
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
European Option ◽  
Multi Scale ◽  
European Option Pricing ◽  
Pde Method
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