A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump
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Publication:2209214
DOI10.1155/2020/4613536zbMath1459.91219OpenAlexW3093240871WikidataQ115521679 ScholiaQ115521679MaRDI QIDQ2209214
Publication date: 28 October 2020
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/4613536
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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