Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 518
Alos type approximative pricing of the two factor stochastic volatiity model with double exponential jumps
Zororo Makumbe, Josep Vives, Youssef El-Khatib
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
February 13, 2022
March 03, 2421
April 15, 2421

Abstract: We study the two-factor stochastic volatility jump (2FSVJ) model and obtain a decomposition formula and its approximative form via Ito calculus techniques. This model is a generalisation of several models in literature such as the Heston [4] and Bates [5] models thus the aim of this study is to extend works in literature like [1], [2] and [3]. We derive the error bounds and provide numerical illustrations of the pricing accuracy and computational advantage of our method under double exponential jumps using Python. Our pricing method is correct to within 0.3 of the Cosine Fourier method.