VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY

Han Xingyu

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VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY

机译：随机波动性双指数跳跃模型下的弱势选择估值

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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.

机译：在本文中，我们将Klein [15] [银行业和金融20：1211-1229]的框架扩展到双指数跳跃模型下的一般模型，其潜在资产与交易对手资产的随机波动。首先，我们推导出这种动态的封闭式特性函数。使用傅里叶余弦扩展技术，我们基于特征函数获取易受伤害的欧洲Put选项的数值解决方案。逆快。傅立叶变换方法为两次易溶性弱势百慕大提供了快速数值算法。凭借修改的GESKE和JOHNSON方法，我们获得了易受伤害的美国PUT选项的近似定价公式。对研究随机挥发性对脆弱选项的影响进行了数值模拟。

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来源
《Probability in the Engineering and Informational Sciences》 |2019年第1期|81-104|共24页
作者
Han Xingyu;
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作者单位

Shandong Univ Inst Financial Studies Jinan 250100 Shandong Peoples R China|Shandong Univ Sch Math Jinan 250100 Shandong Peoples R China;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
double exponential jump; Fourier-cosine expansion; Geske-Johnson scheme; inverse fast Fourier transform; stochastic volatility; vulnerable American options;

机译：双指数跳跃;傅里叶 - 余弦扩张;Geske-Johnson方案;逆快速傅里叶变换;随机波动性;脆弱的美国选择;

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专利

1. VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY [J] . Han Xingyu Probability in the Engineering and Informational Sciences . 2019,第1期

机译：带有随机波动率的双指数跳变模型下的脆弱期权定价。
2. Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity [J] . Ying Chang, Yiming Wang Mathematical Problems in Engineering: Theory, Methods and Applications . 2020,第1期

机译：随机利率的双随机波动率模型下的选择定价，随机强度双指数跳跃
3. Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity? [J] . Jiexiang Huang, Wenli Zhu, Xinfeng Ruan Journal of Computational and Applied Mathematics . 2014,第Null期

机译：在具有随机波动率和随机强度的双指数跳跃模型下使用快速傅里叶变换进行期权定价？
4. European Option Pricing Under the Double Exponential Jump Model with Stochastic Interest Rate, Stochastic Volatility and Stochastic Intensity [C] . Jinyan Sang, Na Zhang, Ming Jian International Conference on Information Technology and Management Innovation . 2014

机译：双指数跳跃模型下的欧洲期权定价，随机速率，随机波动和随机强度
5. Graphical User Interface for Pricing Cryptocurrency Options under the Stochastic Volatility with Correlated Jumps Model [D] . Perez, Ivan. 2018

机译：具有相关跳转模型的随机波动下的定价加密货币选项的图形用户界面
6. Global exponential stability of Markovian jumping stochastic impulsive uncertain BAM neural networks with leakage mixed time delays and α-inverse Hölder activation functions [O] . C. Maharajan, R. Raja, Jinde Cao, -1

机译：具有泄漏混合时滞和α-逆Hölder激活函数的Markovian跳跃随机脉冲不确定BAM神经网络的全局指数稳定性
7. Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate [O] . Chen R, Li Z, Zeng L, 2017

机译：具有随机波动率和利率的双指数跳跃扩散模型下的期权定价

VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY

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