Výsledky vyhledávání - "Roghaye Latifi"

Akademický článek

A Comparison between the Pricing of Capped and Power Options on the Basis of Arbitrage Prevention: Evidence from a Stochastic Market with Double Stochastic Volatility, Double Jump, and a Stochastic Intensity Measure

Autor: Elham Dastranj, Hosein Sahebi Fard, abdolmajid abdolbaghi, Roghaye Latifi

Publikováno v: Journal of Asset Management and Financing, Vol 8, Iss 2, Pp 89-103 (2020)

Objective: In this paper, three types of power options under special stochastic markets have been priced. In the considered market, a risky underlying asset follows a model with two stochastic volatilities, two jumps, and a stochastic intensity measu

Externí odkaz: https://doaj.org/article/ac4e3d1b349647ac9fce41b47e5f9af5

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A comparison of option pricing models

Autor: Elham Dastranj, Roghaye Latifi

Publikováno v: International Journal of Financial Engineering. :1750024

Option pricing under two stochastic volatility models, double Heston model and double Heston with three jumps, is done. Firstly, the efficiency of the second model is shown via FFT method, and numerical examples using power call options. Then it is s

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::11cb700472703bc88220a9afd2ecc494
https://doi.org/10.1142/s2424786317500244

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