Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
DOI10.1016/J.AMC.2021.126669OpenAlexW3203823112WikidataQ115598079 ScholiaQ115598079MaRDI QIDQ2247115FDOQ2247115
Authors: Chun-Sung Huang, John O'Hara, Sure Mataramvura 
Publication date: 16 November 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2021.126669
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stochastic volatilitydouble exponential jumpsShannon waveletspower optionsFourier transform inversionstochastic jump intensity
Actuarial science and mathematical finance (91Gxx) Numerical methods in Fourier analysis (65Txx) Markov processes (60Jxx)
Cites Work
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