{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,9,25]],"date-time":"2025-09-25T18:08:11Z","timestamp":1758823691158,"version":"3.37.3"},"reference-count":15,"publisher":"Wiley","license":[{"start":{"date-parts":[[2013,1,1]],"date-time":"2013-01-01T00:00:00Z","timestamp":1356998400000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"funder":[{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"crossref","award":["JBK130401"],"award-info":[{"award-number":["JBK130401"]}],"id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics"],"published-print":{"date-parts":[[2013]]},"abstract":"<jats:p>Firstly, we present a more general and realistic double-exponential jump model with stochastic volatility, interest rate, and jump intensity. Using Feynman-Kac formula, we obtain a partial integrodifferential equation (PIDE), with respect to the moment generating function of log underlying asset price, which exists an affine solution. Then, we employ the fast Fourier Transform (FFT) method to obtain the approximate numerical solution of a power option which is conveniently designed with different risks or prices. Finally, we find the FFT method to compute that our option price has better stability, higher accuracy, and faster speed, compared to Monte Carlo approach.<\/jats:p>","DOI":"10.1155\/2013\/875606","type":"journal-article","created":{"date-parts":[[2013,11,26]],"date-time":"2013-11-26T00:00:24Z","timestamp":1385424024000},"page":"1-7","source":"Crossref","is-referenced-by-count":4,"title":["Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity"],"prefix":"10.1155","volume":"2013","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-5062-6149","authenticated-orcid":true,"given":"Jiexiang","family":"Huang","sequence":"first","affiliation":[{"name":"School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2214-3806","authenticated-orcid":true,"given":"Wenli","family":"Zhu","sequence":"additional","affiliation":[{"name":"School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1447-6603","authenticated-orcid":true,"given":"Xinfeng","family":"Ruan","sequence":"additional","affiliation":[{"name":"School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, China"}]}],"member":"311","reference":[{"issue":"3","key":"1","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","year":"1973","journal-title":"The Journal of Political Economy"},{"year":"2004","series-title":"Financial Mathematics","key":"3"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.1162\/rest.2010.11549"},{"issue":"8","key":"7","doi-asserted-by":"crossref","first-page":"3204","DOI":"10.1016\/j.jbankfin.2013.03.009","volume":"37","year":"2013","journal-title":"Journal of Banking & Finance"},{"key":"8","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1007\/978-1-4614-3433-7_7","volume":"19","year":"2012","journal-title":"Topics in Numerical Methods for Finance"},{"issue":"1","key":"9","doi-asserted-by":"crossref","first-page":"87","DOI":"10.1111\/j.1468-036X.1995.tb00008.x","volume":"1","year":"1995","journal-title":"European Financial Management"},{"key":"10","doi-asserted-by":"publisher","DOI":"10.1016\/j.amc.2007.12.043"},{"issue":"1","key":"11","first-page":"110","volume":"6","year":"2009","journal-title":"International Journal of Numerical Analysis and Modeling"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/82.4.711"},{"volume":"53","year":"2004","key":"13"},{"issue":"4","key":"14","doi-asserted-by":"crossref","first-page":"61","DOI":"10.21314\/JCF.1999.043","volume":"2","year":"1999","journal-title":"Journal of Computational Finance"},{"key":"15","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2008.05.014"},{"key":"16","doi-asserted-by":"publisher","DOI":"10.1016\/j.cam.2010.10.024"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.1016\/j.amc.2013.05.008"},{"year":"2000","key":"18"}],"container-title":["Journal of Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2013\/875606.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2013\/875606.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2013\/875606.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,5,11]],"date-time":"2020-05-11T17:00:44Z","timestamp":1589216444000},"score":1,"resource":{"primary":{"URL":"http:\/\/www.hindawi.com\/journals\/jam\/2013\/875606\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013]]},"references-count":15,"alternative-id":["875606","875606"],"URL":"https:\/\/doi.org\/10.1155\/2013\/875606","relation":{},"ISSN":["1110-757X","1687-0042"],"issn-type":[{"type":"print","value":"1110-757X"},{"type":"electronic","value":"1687-0042"}],"subject":[],"published":{"date-parts":[[2013]]}}}