scientific article; zbMATH DE number 7112830

DOI10.13548/J.SXZZ.20181207.001zbMath1463.91172MaRDI QIDQ5195938

Guohe Deng, Guangming Xue

Publication date: 2 October 2019

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

zbMATH Keywords

stochastic volatilitystochastic interest rateFourier inverse transformforward starting optionsmultifactor affine jump diffusion model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

This page was built for publication: