A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps (Q375647)
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scientific article; zbMATH DE number 6221439
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| English | A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps |
scientific article; zbMATH DE number 6221439 |
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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0.9276626706123352
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0.8692627549171448
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0.8500920534133911
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0.840164840221405
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