Valuation of forward start options under affine jump-diffusion models (Q5001168)
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scientific article; zbMATH DE number 7372430
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of forward start options under affine jump-diffusion models |
scientific article; zbMATH DE number 7372430 |
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Valuation of forward start options under affine jump-diffusion models (English)
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16 July 2021
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forward start options
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stochastic volatility and interest rates
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jump-diffusion processes
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discrete Fourier transform
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Gaussian quadratures
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COS approximation
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