标题:VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
作者:Han, Xingyu
作者机构:[Han, Xingyu] Shandong Univ, Inst Financial Studies, Jinan 250100, Shandong, Peoples R China.; [Han, Xingyu] Shandong Univ, Sch Math, Jinan 250100, 更多
通讯作者:Han, XY;Han, XY
通讯作者地址:[Han, XY]Shandong Univ, Inst Financial Studies, Jinan 250100, Shandong, Peoples R China;[Han, XY]Shandong Univ, Sch Math, Jinan 250100, Shandong, Peop 更多
来源:PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
出版年:2019
卷:33
期:1
页码:81-104
DOI:10.1017/S0269964817000493
关键词:double exponential jump; Fourier-cosine expansion; Geske-Johnson scheme;; inverse fast Fourier transform; stochastic volatility; vulnerable; American options
摘要:In this paper, we extend the framework of Klein [15] [Journal of Banking & Finance 20: 1211-1229] to a general model under the double exponential jump model with stochastic volatility on the underlying asset and the assets of the counterparty. Firstly, we derive the closed-form characteristic functions for this dynamic. Using the Fourier-cosine expansion technique, we get numerical solutions for vulnerable European put options based on the characteristic functions. The inverse fast. Fourier transform method provides a fast numerical algorithm for the twice-exercisable vulnerable Bermuda put options. By virtue of the modified Geske and Johnson method, we obtain an approximate pricing formula of vulnerable American put options. Numerical simulations are made for investigating the impact of stochastic volatility on vulnerable options.
收录类别:SCOPUS;SCIE;SSCI
WOS核心被引频次:2
Scopus被引频次:2
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046620506&doi=10.1017%2fS0269964817000493&partnerID=40&md5=5e6dac892b69dd5ce8b80e687e59917d
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