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Mathematical Problems in Engineering
Volume 2012 (2012), Article ID 761637, 17 pages
A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk
1School of Science, Xi'an Jiaotong University, Xi'an 710049, China
2School of Science, Xi'an University of Posts and Telecommunications, Xi'an 710121, China
3Department of Mathematics, The University of Iowa, Iowa City, IA 52242, USA
Received 7 April 2011; Revised 15 October 2011; Accepted 31 October 2011
Academic Editor: M. D. S. Aliyu
Copyright © 2012 Su-mei Zhang and Li-he Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citations to this Article [6 citations]
The following is the list of published articles that have cited the current article.
- Sumei Zhang, and Lihe Wang, “Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps,” Applied Mathematics and Computation, vol. 219, no. 23, pp. 10928–10933, 2013.
- Siti Nur Iqmal Ibrahim, John G. O'Hara, and Nick Constantinou, “Pricing Extendible Options Using the Fast Fourier Transform,” Mathematical Problems in Engineering, vol. 2014, pp. 1–7, 2014.
- Artyom M. Grigoryan, and Sos S. Agaian, “Tensor transform-based quaternion fourier transform algorithm,” Information Sciences, vol. 320, pp. 62–74, 2015.
- Chuma Raphael Nwozo, and Sunday Emmanuel Fadugba, “On Two Transform Methods for the Valuation of Contingent Claims,” Journal of Mathematical Finance, vol. 05, no. 02, pp. 88–112, 2015.
- Darae Jeong, Seungsuk Seo, Hyeongseok Hwang, Dongsun Lee, Yongho Choi, and Junseok Kim, “Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations,” Discrete Dynamics in Nature and Society, vol. 2015, pp. 1–10, 2015.
- Qian Liu, “Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods,” Mathematical Problems in Engineering, vol. 2015, pp. 1–6, 2015.