Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (Q482441)
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scientific article; zbMATH DE number 6382681
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps |
scientific article; zbMATH DE number 6382681 |
Statements
Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (English)
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30 December 2014
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fast Fourier transform
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double exponential jump diffusion
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stochastic interest rate
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stochastic volatility
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