Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps (Q4598592)

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scientific article; zbMATH DE number 6818878
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Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps
scientific article; zbMATH DE number 6818878

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    Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps (English)
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    15 December 2017
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    double exponential jumps
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    forward starting options
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    Fourier-cosine method
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    option pricing
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    stochastic volatility
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