Firstly, we present a more general and realistic double-exponential jump model with stochastic volatility, interest rate, and jump intensity.

Nov 25, 2013 · In this paper, we study a more general and realistic double exponential-jump model which links the stochastic interest rate, volatility, and ...

Oct 22, 2024 · Firstly, we present a more general and realistic double-exponential jump model with stochastic volatility, interest rate, and jump intensity ...

Firstly, we present a more general and realistic double-exponential jump model with stochastic volatility, interest rate, and jump intensity.

This paper proceeds as follows. In Section 2, we build our model which links double-exponential jump, stochastic interest rate, volatility, and jump intensity.

Firstly, we present a more general and realistic double-exponential jump model with stochastic volatility, interest rate, and jump intensity.

TL;DR: Simulations show that FFT is fast and efficient, stock returns are negatively correlated with volatility and the effect of stochastic interest rate over ...

Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity. Jiexiang Huang ； Wenli Zhu ； Xinfeng Ruan.

Simulations show that FFT is fast and efficient, stock returns are negatively correlated with volatility and the effect of stochastic interest rate over longer ...

Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity · Mathematics. Journal of Applied Mathematics.