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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| English | Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps |
scientific article; zbMATH DE number 6818878 |
Statements
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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0.8885418176651001
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0.8281396627426147
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0.8227008581161499
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0.8185104131698608
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0.8069747090339661
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