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iasmath


Total Posts: 49
Joined: Feb 2010
 
Posted: 2018-04-20 21:39
I am messing around with Kou model but it looks like I have something wrong in my code. My monte-carlo vanilla prices are always greater than my FFT prices especially on puts.

Can anybody pls share a set of parameters and the corresponding vanilla call and put prices so I can check my matlab code?

And btw, anybody using this model and having fun with it?

"When we pull back the curtain, we see that the wizard is just a man, but also that the man is a wizard"

BlackSwan


Total Posts: 30
Joined: Dec 2006
 
Posted: 2018-04-21 12:39
There are European call and put prices in "Pricing Path-dependent Options with Jump Risk via Laplace Transforms" (page 7) by Kou, Petrella, Wang.

iasmath


Total Posts: 49
Joined: Feb 2010
 
Posted: 2018-04-21 20:15
Perfect! All good now. Tks vm BlackSwan

"When we pull back the curtain, we see that the wizard is just a man, but also that the man is a wizard"
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