TY - JOUR ID - 10725 TI - The option pricing under double Heston model with jumps JO - Journal of Advanced Mathematical Modeling JA - JAMM LA - en SN - 2251-8088 AU - Mehrdoust, Farshid AU - Saber, Naghmeh AD - Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran Y1 - 2014 PY - 2014 VL - 3 IS - 2 SP - 45 EP - 60 KW - stochastic volatility model KW - Double Heston KW - Jumps KW - Risk neutral measure KW - fast Fourier transform DO - N2 - In this paper, by introducing of the double Heston's stochastic volatility model, since the prices of underlying asset in the financial markets are subject to the abrupt changes caused by different factors, by adding  jump term to the double Heston model, we propose a new financial model, called the double Heston's stochastic volatility model with jumps. Then, by determining the characteristic function of the underlying stock price process, we obtain a formula for the European call option pricing under the proposed model by using the Fast Fourier transform method. Due to existence the jump term in the stock price process, the proposed model can be widely used in the financial markets, such as oil, gold and stock financial markets. Therefore, the model is more flexible than the Heston model and covers the abrupt changes of underlying asset price. The main goal of this paper is to present the model and derive a numerical scheme for the European option pricing. UR - https://jamm.scu.ac.ir/article_10725.html L1 - https://jamm.scu.ac.ir/article_10725_f3fae3b931fb46d5b1e9323511f86999.pdf ER -