"FFT based option pricing under a mean reverting process with stochastic ..."

E. Pillay, John G. O'Hara (2011)

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DOI: 10.1016/J.CAM.2010.10.024

access: open

type: Journal Article

metadata version: 2022-01-03

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E. Pillay, John G. O'Hara:
FFT based option pricing under a mean reverting process with stochastic volatility and jumps. J. Comput. Appl. Math. 235(12): 3378-3384 (2011)

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