首页|Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump
Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump
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NSTL
Elsevier
The pricing of European-style vulnerable option when the price process of the underlying asset follows nonaffine stochastic volatility and double exponential jump is investigated. An approximate expression for the joint characteristic function of the log-price of underlying asset and the log-value of counterparty asset is derived. An analytical approximate price of European-style vulnerable option is also obtained by means of Fourier-cosine method. Numerical experiments are given to confirm the accuracy and efficiency of the proposed result for pricing the European-style vulnerable option compared with Monte Carlo simulation. Finally, sensitivity analysis is presented to further explain the theoretical results. (c) 2022 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
NSTL
Elsevier
