A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps

DOI10.1016/J.CNSNS.2012.11.010MaRDI QIDQ375647zbMATH OpenOpenAlexFDO

Authors Lihe Wang, Sumei Zhang

Publication date 31 October 2013

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL http://www.sciencedirect.com/science/article/pii/S1007570412005114

zbMATH Keywords

characteristic functionstochastic volatilityfast Fourier transformstochastic interest ratedouble exponential jump diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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