"Option pricing using the fast Fourier transform under the double ..."

Jiexiang Huang, Wenli Zhu, Xinfeng Ruan (2014)

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DOI: 10.1016/J.CAM.2013.12.009

access: open

type: Journal Article

metadata version: 2021-02-16

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Jiexiang Huang, Wenli Zhu, Xinfeng Ruan:
Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity. J. Comput. Appl. Math. 263: 152-159 (2014)

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