Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps

被引：14

作者：

Zhang, Sumei ^{[1
]}

Geng, Junhao ^{[2
]}

机构：

[1] Xian Univ Posts & Telecommun, Sch Sci, Xian 710121, Shaanxi, Peoples R China

[2] Northwestern Polytech Univ, Sch Mech Engn, Xian, Shaanxi, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 20期

基金：

中国国家自然科学基金;

关键词：

Double exponential jumps; forward starting options; Fourier-cosine method; option pricing; stochastic volatility; HESTONS MODEL; EXPANSIONS; EQUITY; BOND;

D O I：

10.1080/03610926.2016.1228960

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article provides an efficient method for pricing forward starting options under stochastic volatility model with double exponential jumps. The forward characteristic function of the log asset price is derived and thereby forward starting options are well evaluated by Fourier-cosine technique. Based on adaptive simulated annealing algorithm, the model is calibrated to obtain the estimated parameters. Numerical results show that the pricing method is accurate and fast. Double exponential jumps have pronounced impacts on long-term forward starting options prices. Stochastic volatility model with double exponential jumps fits forward implied volatility smile pretty well in contrast to stochastic volatility model.

引用

页码：9995 / 10004

页数：10

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