A comparison of option pricing models

Elham Dastranj () and Roghaye Latifi ()
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Elham Dastranj: Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, P.O. Box 203-2308889030, Shahrood, Iran
Roghaye Latifi: Department of Mathematics, Faculty of Mathematical Sciences, Shahrood University of Technology, P.O. Box 203-2308889030, Shahrood, Iran

International Journal of Financial Engineering (IJFE), 2017, vol. 04, issue 02n03, 1-11

Abstract: 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 shown that power option yields more premium income under the second model, double Heston with three jumps, than another one.

Keywords: Power option; option pricing; double Heston model; double Heston with three jumps (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S2424786317500244

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