scientific article; zbMATH DE number 2147959

zbMath1061.60088MaRDI QIDQ4659617

Artur Sepp, Raul Kangro, Kalev Pärna

Publication date: 21 March 2005

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Fourier transformstochastic volatilityoption pricingcharacteristic functionjump-diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Transition functions, generators and resolvents (60J35)

Related Items (1)

Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates

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