Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity

doi:10.1007/s40304-022-00287-6

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	Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity
	Duan, Pingtao 1; Liu, Yuting 1; Ma, Zhiming2
	2022-11-19
发表期刊	COMMUNICATIONS IN MATHEMATICS AND STATISTICS
ISSN	2194-6701
页码	25
摘要	This paper considers the problem of numerically evaluating discrete barrier option prices when the underlying asset follows the jump-diffusion model with stochastic volatility and stochastic intensity. We derive the three-dimensional characteristic function of the log-asset price, the volatility and the jump intensity. We also provide the approximate formula of the discrete barrier option prices by the three-dimensional Fourier cosine series expansion (3D-COS) method. Numerical results show that the 3D-COS method is rather correct, fast and competent for pricing the discrete barrier options.
关键词	Option pricing Discrete barrier options Jump-diffusion model Stochastic volatility Stochastic intensity
DOI	10.1007/s40304-022-00287-6
收录类别	SCI
语种	英语
资助项目	Fundamental Research Funds for the Central Universities[2018JBM320]
WOS研究方向	Mathematics
WOS类目	Mathematics
WOS记录号	WOS:000885203100001
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/60638
专题	应用数学研究所
通讯作者	Liu, Yuting
作者单位	1.Beijing Jiaotong Univ, Sch Sci, Beijing 100044, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Zhong Guan Cun East Rd 55, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Duan, Pingtao,Liu, Yuting,Ma, Zhiming. Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity[J]. COMMUNICATIONS IN MATHEMATICS AND STATISTICS,2022:25.
APA	Duan, Pingtao,Liu, Yuting,&Ma, Zhiming.(2022).Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity.COMMUNICATIONS IN MATHEMATICS AND STATISTICS,25.
MLA	Duan, Pingtao,et al."Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity".COMMUNICATIONS IN MATHEMATICS AND STATISTICS (2022):25.