Fast Fourier transform based power option pricing with stochastic interest rate, volatility, and jump intensity
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Publication:1791368
DOI10.1155/2013/875606zbMath1397.91569OpenAlexW2163451434WikidataQ59005010 ScholiaQ59005010MaRDI QIDQ1791368
Xinfeng Ruan, Jiexiang Huang, Wenli Zhu
Publication date: 10 October 2018
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/875606
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PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY ⋮ Pricing extendible options using the fast Fourier transform ⋮ Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
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