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Wang, Guodong (2026) Pricing of vulnerable option under affine stochastic volatility with simultaneous jumps model. Journal of Computational and Applied Mathematics, 475. doi:10.1016/j.cam.2025.117033

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Reference TypeJournal (article/letter/editorial)
TitlePricing of vulnerable option under affine stochastic volatility with simultaneous jumps model
JournalJournal of Computational and Applied Mathematics
AuthorsWang, GuodongAuthor
Year2026 (March)Volume475
PublisherElsevier BV
DOIdoi:10.1016/j.cam.2025.117033Search in ResearchGate
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Mindat Ref. ID18888971Long-form Identifiermindat:1:5:18888971:2
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Full ReferenceWang, Guodong (2026) Pricing of vulnerable option under affine stochastic volatility with simultaneous jumps model. Journal of Computational and Applied Mathematics, 475. doi:10.1016/j.cam.2025.117033
Plain TextWang, Guodong (2026) Pricing of vulnerable option under affine stochastic volatility with simultaneous jumps model. Journal of Computational and Applied Mathematics, 475. doi:10.1016/j.cam.2025.117033
In(2026) Journal of Computational and Applied Mathematics Vol. 475. Elsevier BV

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See Also

These are possibly similar items as determined by title/reference text matching only.

Alazemi, Fares (2026) A novel option pricing framework using Pell-Locas collocation method under the stochastic local volatility model. Journal of Computational and Applied Mathematics, 473. doi:10.1016/j.cam.2025.116840
Pillay, E., O’Hara, J.G. (2011) FFT based option pricing under a mean reverting process with stochastic volatility and jumps. Journal of Computational and Applied Mathematics, 235 (12). 3378-3384 doi:10.1016/j.cam.2010.10.024
Agazzotti, Gaetano, Aguilar, Jean-Philippe, Aglieri Rinella, Claudio, Kirkby, Justin Lars (2025) Calibration and option pricing with stochastic volatility and double exponential jumps. Journal of Computational and Applied Mathematics, 465. doi:10.1016/j.cam.2025.116563
Sousa, Rúben, Cruzeiro, Ana Bela, Guerra, Manuel (2018) Barrier option pricing under the 2-hypergeometric stochastic volatility model. Journal of Computational and Applied Mathematics, 328. 197-213 doi:10.1016/j.cam.2017.06.034
Huang, Jiexiang, Zhu, Wenli, Ruan, Xinfeng (2014) Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity. Journal of Computational and Applied Mathematics, 263. 152-159 doi:10.1016/j.cam.2013.12.009
Zhang, Sumei, Sun, Yudong (2017) Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps. Journal of Computational and Applied Mathematics, 325. 34-41 doi:10.1016/j.cam.2017.04.013
Lee, Sunju, Lee, Younhee (2024) Real option pricing under the regime-switching model with jumps on a finite time horizon. Journal of Computational and Applied Mathematics, 448. 115893 doi:10.1016/j.cam.2024.115893
Ha, Mijin, Kim, Donghyun, Yoon, Ji-Hun (2025) Pricing of timer volatility-barrier options under Heston’s stochastic volatility model. Journal of Computational and Applied Mathematics, 457. doi:10.1016/j.cam.2024.116310
Choi, Sun-Yong; Ha, Mijin; Park, Sangmin; Yoon, Ji-Hun (2026) Analytic approximations for pricing perpetual American strangle options under constant elasticity of variance model with stochastic volatility. Journal of Computational and Applied Mathematics, 474. doi:10.1016/j.cam.2025.117012
Shiraya, Kenichiro, Takahashi, Akihiko (2016) An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets. Journal of Computational and Applied Mathematics, 292. 230-256 doi:10.1016/j.cam.2015.06.027
Zhu, Song-Ping, Lian, Guang-Hua (2015) Analytically pricing volatility swaps under stochastic volatility. Journal of Computational and Applied Mathematics, 288. 332-340 doi:10.1016/j.cam.2015.04.036
 
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