Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps (Q4598592)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6818878
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
15 December 2017
0 references
double exponential jumps
0 references
forward starting options
0 references
Fourier-cosine method
0 references
option pricing
0 references
stochastic volatility
0 references
0.8885418176651001
0 references
0.8281396627426147
0 references
0.8227008581161499
0 references
0.8185104131698608
0 references
0.8069747090339661
0 references
