Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
DOI10.3934/jimo.2022238OpenAlexW4312722094MaRDI QIDQ2698596
Ben-Zhang Yang, Ren-Jie Han, Dong Yan, Qing-Gang Tian
Publication date: 24 April 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022238
fast Fourier transformstochastic interest ratepartial integro-differential equationstochastic convenience yieldco-jump riskscrude oil options
Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, stochastic differential equations (65C99)
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