Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

DOI10.1111/1467-9965.00039zbMath1020.91030MaRDI QIDQ2707188

Louis Scott

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00039

zbMATH Keywords

stochastic volatility; option pricing; jump processes; Fourier inversion

Mathematics Subject Classification ID

60J65: Brownian motion

91G20: Derivative securities (option pricing, hedging, etc.)

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