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Q5276821 - MaRDI portal

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scientific article; zbMATH DE number 6746498
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English
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scientific article; zbMATH DE number 6746498

    Statements

    author
    Jiaqin Wang
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    Guohe Deng
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    publication date
    14 July 2017
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    zbMATH Keywords
    affine jump diffusion model
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    term structure of interest rate
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    bond options
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    Fourier transform
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    implied volatility
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    60J75
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    zbMATH DE Number
    6746498
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