Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, Shahrood, Iran
Abstract
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.
Dastranj, E., & Latifi, R. (2017). Option pricing under the double stochastic volatility with double jump model. Computational Methods for Differential Equations, 5(3), 224-231.
MLA
Elham Dastranj; Roghaye Latifi. "Option pricing under the double stochastic volatility with double jump model". Computational Methods for Differential Equations, 5, 3, 2017, 224-231.
HARVARD
Dastranj, E., Latifi, R. (2017). 'Option pricing under the double stochastic volatility with double jump model', Computational Methods for Differential Equations, 5(3), pp. 224-231.
VANCOUVER
Dastranj, E., Latifi, R. Option pricing under the double stochastic volatility with double jump model. Computational Methods for Differential Equations, 2017; 5(3): 224-231.
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