Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps (Q2359987)
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scientific article; zbMATH DE number 6735241
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| default for all languages | No label defined |
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| English | Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps |
scientific article; zbMATH DE number 6735241 |
Statements
Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps (English)
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23 June 2017
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forward starting options
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COS method
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double exponential jumps
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stochastic interest rates
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double Heston model
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0.8885418176651001
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0.8585950136184692
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0.8415948152542114
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0.8102593421936035
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