A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps

DOI10.1016/J.CNSNS.2012.11.010zbMath1274.91483OpenAlexW1989207880MaRDI QIDQ375647

Lihe Wang, Su-Mei Zhang

Publication date: 31 October 2013

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S1007570412005114

zbMATH Keywords

stochastic volatilityfast Fourier transformcharacteristic functionstochastic interest ratedouble exponential jump diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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