Option pricing under the double stochastic volatility with double jump model

MaRDI QIDQ4625353zbMATH OpenFDO

Authors Roghaye Latifi, E. Dastranj

Publication date 22 February 2019

Full work available at URL http://cmde.tabrizu.ac.ir/article_6279.html

zbMATH Keywords

double jumpdouble stochastic volatilityfast Fourier transformMonte Carlopower option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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(16)

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