A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps (Q375647): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Normalize DOI. |
||
| (5 intermediate revisions by 4 users not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.1016/j.cnsns.2012.11.010 / rank | |||
| Property / author | |||
| Property / author: Su-Mei Zhang / rank | |||
| Property / author | |||
| Property / author: Su-Mei Zhang / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1989207880 / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.CNSNS.2012.11.010 / rank | |||
Normal rank | |||
Latest revision as of 15:43, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps |
scientific article |
Statements
A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps (English)
0 references
31 October 2013
0 references
characteristic function
0 references
fast Fourier transform
0 references
double exponential jump diffusion
0 references
stochastic interest rate
0 references
stochastic volatility
0 references
