A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps (Q375647): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6221439 / rank | |||
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characteristic function | |||
| Property / zbMATH Keywords: characteristic function / rank | |||
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fast Fourier transform | |||
| Property / zbMATH Keywords: fast Fourier transform / rank | |||
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double exponential jump diffusion | |||
| Property / zbMATH Keywords: double exponential jump diffusion / rank | |||
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stochastic interest rate | |||
| Property / zbMATH Keywords: stochastic interest rate / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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Revision as of 10:29, 29 June 2023
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)
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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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