A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps (Q375647): Difference between revisions
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Revision as of 10:43, 1 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps |
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A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps (English)
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31 October 2013
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characteristic function
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fast Fourier transform
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double exponential jump diffusion
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stochastic interest rate
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stochastic volatility
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