Research Repository

FFT based option pricing under a mean reverting process with stochastic volatility and jumps

Pillay, E and O’Hara, JG (2011) 'FFT based option pricing under a mean reverting process with stochastic volatility and jumps.' Journal of Computational and Applied Mathematics, 235 (12). pp. 3378-3384. ISSN 0377-0427

Full text not available from this repository.

Abstract

Numerous studies present strong empirical evidence that certain financial assets may exhibit mean reversion, stochastic volatility or jumps. This paper explores the valuation of European options when the underlying asset follows a mean reverting log-normal process with stochastic volatility and jumps. A closed form representation of the characteristic function of the process is derived for the computation of European option prices via the fast Fourier transform. © 2011 Elsevier B.V. All rights reserved.

Item Type: Article
Uncontrolled Keywords: Mean reverting process; Stochastic volatility; Jumps; Fast Fourier transform; Monte Carlo simulation
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Science and Health
Faculty of Science and Health > Mathematical Sciences, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 01 Feb 2013 16:02
Last Modified: 15 Jan 2022 00:33
URI: http://repository.essex.ac.uk/id/eprint/5441

Actions (login required)

View Item View Item