Option pricing using stochastic volatility model under Fourier transform of nonlinear differential equation (Q5070767)
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scientific article; zbMATH DE number 7507549
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| English | Option pricing using stochastic volatility model under Fourier transform of nonlinear differential equation |
scientific article; zbMATH DE number 7507549 |
Statements
OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION (English)
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14 April 2022
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nonlinear differential equation
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Fourier transform
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stochastic volatility model
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option pricing
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0.7834958434104919
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0.7560011148452759
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0.7513795495033264
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0.7483319640159607
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