Digital Power Exchange Option Pricing under Non-Affine Stochastic Volatility Models

Authors

  • Jingting Zhang College of Mathematics and Statistics, Guangxi Normal University, Guilin 541006, Guangxi, China
  • Jingjing Zhang Hongmou Middle School, Guilin 541199, Guangxi, China

DOI:

https://doi.org/10.53469/jgebf.2025.07(06).04

Keywords:

Option pricing, Non-affine stochastic volatility, Fast Fourier Transform

Abstract

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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Published

2025-06-30

How to Cite

Zhang, J., & Zhang, J. (2025). Digital Power Exchange Option Pricing under Non-Affine Stochastic Volatility Models. Journal of Global Economy, Business and Finance, 7(6), 12–15. https://doi.org/10.53469/jgebf.2025.07(06).04

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Section

Articles