Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
Author:
Funder
Natural Science Foundation of Guangdong Province, China
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
http://www.tandfonline.com/doi/pdf/10.1080/00207160.2015.1079311
Reference18 articles.
1. Does model fit matter for hedging? Evidence from FTSE 100 options
2. Simple and efficient simulation of the Heston stochastic volatility model
3. Empirical Performance of Alternative Option Pricing Models
4. The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
5. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
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2. Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility;Computational Economics;2023-03-30
3. PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE;Probability in the Engineering and Informational Sciences;2021-01-05
4. VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS;Annals of Financial Economics;2020-06
5. Fourier Method for Valuation of Options under Parameter and State Uncertainty;The Journal of Derivatives;2019-09-27
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