The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
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Publication:744404
DOI10.1007/S11147-012-9083-ZzbMath1296.91262OpenAlexW3123034721MaRDI QIDQ744404
Publication date: 25 September 2014
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-012-9083-z
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
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Cites Work
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- Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- The Fractional Fourier Transform and Applications
- Financial Modelling with Jump Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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