Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115)
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scientific article; zbMATH DE number 7428131
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| English | Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility |
scientific article; zbMATH DE number 7428131 |
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Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (English)
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16 November 2021
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Shannon wavelets
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Fourier transform inversion
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power options
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double exponential jumps
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stochastic volatility
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stochastic jump intensity
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0.8387719988822937
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0.7992239594459534
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0.7900188565254211
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0.7823421955108643
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0.782235324382782
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