A study of American options under stochastic volatility and double exponential jumps

In this study, we introduce and validate a novel approach for pricing American-style options. Our model integrates stochastic volatility with a double exponential jump-diffusion process and incorporates a memory feature in the volatility component. We analyze the structure of the proposed model and demonstrate its accuracy and precision using real data from the S\&P ۵۰۰ index. Our results show that the model effectively captures market dynamics and provides a more accurate pricing of American options compared to traditional models.

کلیدواژه ها:

Fractional Brownian motion ، rough stochastic volatility ، double exponential jump ، American option pricing