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European option Pricing with stochastic volatility and jumps: Comparison of Monte Carlo and Fast Fourier transform Methods.

Uro LyiMichael C. Fu
Published in: WSC (2018)
Keyphrases
  • monte carlo
  • monte carlo methods
  • monte carlo simulation
  • markov chain
  • point processes
  • computational complexity
  • reinforcement learning
  • pattern recognition
  • long term
  • fourier transform
  • option pricing