FFT based option pricing under a mean reverting process with stochastic volatility and jumps

DOI10.1016/j.cam.2010.10.024zbMath1213.91162MaRDI QIDQ534218

Yong-Cai Geng, Sumit K. Garg

Publication date: 17 May 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.10.024

zbMATH Keywords

jumps; stochastic volatility; fast Fourier transform; Monte Carlo simulation; mean reverting process

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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

65T50: Numerical methods for discrete and fast Fourier transforms

Uses Software

• FFTW