Modeling Asset Price Under Two-Factor Heston Model with Jumps

In this paper, we present an extension of the double Heston’s stochastic volatility model by adding jumps to financial modeling for stock prices. We assume that the underlying asset price follows the double Heston’s stochastic volatility model with jumps. In order to evaluate the European call option pricing, we use the Fast Fourier transform approach as an effective tool in the valuation of options and compare it with a discretization scheme in naive Monte-Carlo and antithetic variates Monte-Carlo methods.