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 optio...
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| Veröffentlicht in: | International journal of applied and computational mathematics 2017-12, Vol.3 (4), p.3783-3794 |
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| container_title | International journal of applied and computational mathematics |
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| creator | Mehrdoust, Farshid Saber, Naghmeh Najafi, Ali Reza |
| description | 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. |
| doi_str_mv | 10.1007/s40819-017-0328-2 |
| format | Article |
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We assume that the underlying asset price follows the double Heston’s stochastic volatility model with jumps. 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| subjects | Applications of Mathematics Applied mathematics Computational mathematics Computational Science and Engineering Computer simulation Fast Fourier transformations Fourier transforms Mathematical and Computational Physics Mathematical Modeling and Industrial Mathematics Mathematics Mathematics and Statistics Modelling Monte Carlo simulation Nuclear Energy Operations Research/Decision Theory Original Paper Theoretical Volatility |
| title | Modeling Asset Price Under Two-Factor Heston Model with Jumps |
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