FFT based option pricing under a mean reverting process with stochastic volatility and jumps (Q534218)
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scientific article; zbMATH DE number 5895469
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FFT based option pricing under a mean reverting process with stochastic volatility and jumps |
scientific article; zbMATH DE number 5895469 |
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FFT based option pricing under a mean reverting process with stochastic volatility and jumps (English)
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17 May 2011
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mean reverting process
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stochastic volatility
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jumps
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fast Fourier transform
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Monte Carlo simulation
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