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A study of American options under stochastic volatility and double exponential jumps | ||
| Journal of Mathematical Modeling | ||
| مقاله 14، دوره 13، شماره 2، مرداد 2025، صفحه 467-484 اصل مقاله (387.5 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22124/jmm.2025.29394.2612 | ||
| نویسندگان | ||
| Somayeh Fallah* 1؛ Farshid Mehrdoust2 | ||
| 1Department of Mathematics, Faculty of Mathematical Sciences, Alzahra University, Tehran, Iran | ||
| 2Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, P. O. Box: 41938--1914, Rasht, Iran | ||
| چکیده | ||
| In this study, we introduce and validate a novel approach for pricing American-style options. Our model integrates stochastic volatility with a double exponential jump-diffusion process and incorporates a memory feature in the volatility component. We analyze the structure of the proposed model and demonstrate its accuracy and precision using real data from the $S\&P$ 500 index. Our results show that the model effectively captures market dynamics and provides a more accurate pricing of American options compared to traditional models. | ||
| کلیدواژه‌ها | ||
| Fractional Brownian motion؛ rough stochastic volatility؛ double exponential jump؛ American option pricing | ||
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آمار تعداد مشاهده مقاله: 127 تعداد دریافت فایل اصل مقاله: 134 |
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