Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility-Reference-Cited by-同舟云学术

Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility

Published:2022-02 Issue: Volume:414 Page:126669
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Huang Chun-Sung,O'Hara John G.,Mataramvura Sure

Funder

National Research Foundation

University of Cape Town

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

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4. Transform analysis and asset pricing for affine jump-diffusions;Duffie;Econometrica,2000

5. A novel pricing method for european options based on fourier-cosine series expansions;Fang;SIAM J. Sci. Comput.,2008

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