Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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Publication:375333
DOI10.1023/A:1011354913068zbMath1274.91398MaRDI QIDQ375333
Jesper Andreasen, Leif B. G. Andersen
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
fast Fourier transformlocal timevolatility smilejump-diffusion processADI finite difference methodforward equation
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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