A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump

From MaRDI portal
Publication:2209214

DOI10.1155/2020/4613536zbMath1459.91219OpenAlexW3093240871WikidataQ115521679 ScholiaQ115521679MaRDI QIDQ2209214

Shoude Huang, Xun Xiang Guo

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




Related Items (1)



Cites Work


This page was built for publication: A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump