Valuation of forward start options under affine jump-diffusion models
DOI10.1080/14697688.2015.1049200zbMath1465.91119OpenAlexW2173660204MaRDI QIDQ5001168
João Pedro Vidal Nunes, Tiago Ramalho Viegas Alcaria
Publication date: 16 July 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1049200
discrete Fourier transformjump-diffusion processesGaussian quadraturesforward start optionsCOS approximationstochastic volatility and interest rates
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
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Cites Work
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