Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (Q482441)
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scientific article; zbMATH DE number 6382681
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| English | Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps |
scientific article; zbMATH DE number 6382681 |
Statements
Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (English)
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30 December 2014
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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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0.8994772434234619
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0.8990516066551208
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0.8974907398223877
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