Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps (Q4598592)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps |
scientific article; zbMATH DE number 6818878
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps |
scientific article; zbMATH DE number 6818878 |
Statements
Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps (English)
0 references
15 December 2017
0 references
double exponential jumps
0 references
forward starting options
0 references
Fourier-cosine method
0 references
option pricing
0 references
stochastic volatility
0 references
