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Valuation of forward start options under affine jump-diffusion models - MaRDI portal

Valuation of forward start options under affine jump-diffusion models (Q5001168)

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scientific article; zbMATH DE number 7372430
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English
Valuation of forward start options under affine jump-diffusion models
scientific article; zbMATH DE number 7372430

    Statements

    title
    Valuation of forward start options under affine jump-diffusion models (English)
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    publication date
    16 July 2021
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    zbMATH Keywords
    forward start options
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    stochastic volatility and interest rates
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    jump-diffusion processes
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    discrete Fourier transform
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    Gaussian quadratures
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    COS approximation
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    cites work
    Q5754578
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    Q4905685
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    60J74
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    zbMATH DE Number
    7372430
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    OpenAlex ID
    W2173660204
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