FFT based option pricing under a mean reverting process with stochastic volatility and jumps
type: Item
instance of: scholarly article
title: FFT based option pricing under a mean reverting process with stochastic volatility and jumps
zbMATH Open document ID: 1213.91162
author: Yong-Cai Geng
author: Sumit K. Garg
published in: Journal of Computational and Applied Mathematics
publication date: 2011-05-17T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65T50
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 5895469
zbMATH Keywords: mean reverting process
zbMATH Keywords: stochastic volatility
zbMATH Keywords: jumps
zbMATH Keywords: fast Fourier transform
zbMATH Keywords: Monte Carlo simulation
describes a project that uses: FFTW
MaRDI profile type: Publication
full work available at URL: j.cam.2010.10.024
OpenAlex ID: W2023808394
cites work: Option pricing with mean reversion and stochastic volatility
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cites work: Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
DOI: 10.1016/J.CAM.2010.10.024
description: scientific article; zbMATH DE number 5895469