The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques (Q744404)
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scientific article; zbMATH DE number 6347607
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| English | The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques |
scientific article; zbMATH DE number 6347607 |
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The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques (English)
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25 September 2014
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compound options
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Heston model
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Fourier transform techniques
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characteristic functions
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0.8338972926139832
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0.773595929145813
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0.7733736038208008
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0.7611073851585388
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