Pricing European-style options under jump diffusion processes with stochastic volatility: Applications of Fourier transform

Kangro, Raul, Pärna, Kalev, Sepp, Artur . Acta et Commentationes Universitatis Tartuensis de Mathematica 2004. 8 (4) :123-133

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Bibtex

@article{CIS-213611,
  Author = {Kangro, Raul and Pärna, Kalev and Sepp, Artur},
  Title = {Pricing European-style options under jump diffusion processes with stochastic volatility: Applications of Fourier transform},
  Journal = {Acta et Commentationes Universitatis Tartuensis de Mathematica},
  Volume = {8},
  Number = {4},
  Year = {2004},
  Pages = {123--133},
  Keywords = {Characteristic function, Option pricing, jump-diffusion processes, special volume: proceedings of the 7th Tartu conference on multivariate statistics, August 7-12, 2003, Tartu, Estonia}
}

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