Pricing of Outer Performance Option under a Two-Factor Stochastic Volatility Jump-Diffusion Model

Authors

  • Wenmei Li College of Mathematics and Statistics, Guangxi Normal University, Guilin 541006, Guangxi, China

DOI:

https://doi.org/10.53469/jgebf.2025.07(06).09

Keywords:

Double Heston Stochastic Volatility Model, Jump-Diffusion Model, Outer Performance Option, Fourier Inversion Transform

Abstract

This study addresses the pricing of outer performance option within the framework of a two-factor stochastic volatility jump-diffusion model. By integrating martingale theory, partial differential equation (PDE) techniques, the Feynman-Kac theorem, and the Fourier inversion transform, we derive a semi-closed-form pricing formula for outer performance option. The methodology rigorously accounts for both stochastic volatility components and jump risk, thus providing a comprehensive solution to the complex valuation problem.

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Published

2025-06-30

How to Cite

Li, W. (2025). Pricing of Outer Performance Option under a Two-Factor Stochastic Volatility Jump-Diffusion Model. Journal of Global Economy, Business and Finance, 7(6), 34–37. https://doi.org/10.53469/jgebf.2025.07(06).09

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Section

Articles