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. DOI https://doi.org/10.1016/j.cam.2010.10.024
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. DOI https://doi.org/10.1016/j.cam.2010.10.024
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. DOI https://doi.org/10.1016/j.cam.2010.10.024
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: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 01 Feb 2013 16:02 |
| Last Modified: | 18 Aug 2022 11:04 |
| URI: | http://repository.essex.ac.uk/id/eprint/5441 |