An analytical approximation of European option prices under a hybrid GARCH-Vasicek model with double exponential jump in the bid-ask price economy

Conic finance theory, which has been developed over the past decade, replaces classical one-price theory with the bid-ask price economy in option pricing since the one-price principle ignores the bid-ask spread created by market liquidity. Within this framework, we investigate the European option pr...

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Bibliographic Details

Published in:	AIMS Mathematics
Main Authors:	Shoude Huang, Xinjiang He, Shuqu Qian
Format:	Article
Language:	English
Published:	AIMS Press 2024-03-01
Subjects:	european option fourier-cosine method bid-ask prices double exponential jump
Online Access:	https://www.aimspress.com/article/doi/10.3934/math.2024579?viewType=HTML