TY - JOUR ID - 6279 TI - Option pricing under the double stochastic volatility with double jump model JO - Computational Methods for Differential Equations JA - CMDE LA - en SN - 2345-3982 AU - Dastranj, Elham AU - Latifi, Roghaye AD - Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, Shahrood, Iran Y1 - 2017 PY - 2017 VL - 5 IS - 3 SP - 224 EP - 231 KW - Power option KW - Monte Carlo KW - Fast Fourier Transform KW - Double Stochastic Volatility KW - Double Jump DO - N2 - In this paper, we deal with the pricing of power options when the dynamics of the risky underling asset follows the double stochastic volatility with double jump model. We prove efficiency of our considered model by fast Fourier transform method, Monte Carlo simulation and numerical results using power call options i.e. Monte Carlo simulation and numerical results show that the fast Fourier transform is correct. UR - https://cmde.tabrizu.ac.ir/article_6279.html L1 - https://cmde.tabrizu.ac.ir/article_6279_cd940f979091503956ffb28024cef95e.pdf ER -