Digital Power Exchange Option Pricing under Non-Affine Stochastic Volatility Models
DOI:
https://doi.org/10.53469/jgebf.2025.07(06).04Keywords:
Option pricing, Non-affine stochastic volatility, Fast Fourier TransformAbstract
This paper investigates the pricing of digital power exchange options under a non-affine stochastic volatility model. We first derive an approximate characteristic function for the logarithmic price distribution of underlying assets through perturbation analysis of partial differential equations. Subsequently, the analytical expression for digital power exchange options is obtained by employing Fourier transform and its inverse transformation.
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Copyright (c) 2025 Jingting Zhang, Jingjing Zhang

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